Local Times and Excursion Theory for Brownian Motion
Av Ju-Yi Yen, Marc Yor, 2013.Del av serien Lecture Notes in Mathematics.
A Tale of Wiener and Ito Measures
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.
Språk: Engelsk
Oppdag mer
Local Times and Excursion Theory for Brownian Motion
Av Ju-Yi Yen, Marc Yor, 2013.Del av serien Lecture Notes in Mathematics.
A Tale of Wiener and Ito Measures
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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Språk: Engelsk
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