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Local Times and Excursion Theory for Brownian Motion [electronic resource] : A Tale of Wiener and Itô Measures / by Ju-Yi Yen, Marc Yor.

By: Contributor(s): Material type: TextTextSeries: Lecture Notes in Mathematics ; 2088Publisher: Cham : Springer International Publishing : Imprint: Springer, 2013Description: IX, 135 p. 9 illus., 8 illus. in color. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783319012704
Subject(s): Additional physical formats: Printed edition:: No titleDDC classification:
  • 519.2 23
LOC classification:
  • QA273.A1-274.9
  • QA274-274.9
Online resources:
Contents:
Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.
In: Springer eBooksSummary: 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.
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Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.

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.

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