Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures

von Ju-Yi Yen, Marc Yor

135 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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. 

• Reihe: Lecture Notes in Mathematics
• Themen: Mathematik und Naturwissenschaften Mathematik Wahrscheinlichkeitsrechnung und Statistik
• ISBN: 9783319012698
• Sprache: Englisch
• Erscheinungsdatum: 16.10.2013
• Größe: 23.5 x 15.5 cm
• Verlag: Springer International Publishing