Local Times and Excursion Theory for Brownian Motion A Tale of Wiener and It Measures |
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| Author:
| Yen, Ju-Yi
Yor, Marc |
| Series title: | Lecture Notes in Mathematics Ser. |
| ISBN: | 978-3-319-01269-8 |
| Publication Date: | Oct 2013 |
| Publisher: | Springer International Publishing AG
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $49.99USD $44.99 |
Book Description:
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This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian...
More Description
This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.