Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
Nonfiction, Science & Nature, Mathematics, Statistics
| Author: | Ju-Yi Yen, Marc Yor | ISBN: | 9783319012704 |
| Publisher: | Springer International Publishing | Publication: | October 1, 2013 |
| Imprint: | Springer | Language: | English |
| Author: | Ju-Yi Yen, Marc Yor |
| ISBN: | 9783319012704 |
| Publisher: | Springer International Publishing |
| Publication: | October 1, 2013 |
| Imprint: | Springer |
| Language: | English |
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.
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.
