Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Ito Measures

; Marc Yor

Serie: Lecture Notes in Mathematics 2088

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. Les mer
Vår pris
497,-

(Paperback) Fri frakt!
Leveringstid: Sendes innen 21 dager

Paperback
Legg i
Paperback
Legg i
Vår pris: 497,-

(Paperback) Fri frakt!
Leveringstid: Sendes innen 21 dager

Om boka

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.

Fakta

Innholdsfortegnelse

Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.