Yen / Yor Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures
Erscheinungsjahr 2013
ISBN: 978-3-319-01270-4
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 2088, 135 Seiten, eBook

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Yen, Ju-Yi

Yor, Marc

Inhaltsverzeichnis

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