E-Book, Englisch, Band 2088, 135 Seiten, eBook
Reihe: Lecture Notes in Mathematics
Yen / Yor Local Times and Excursion Theory for Brownian Motion
2013
ISBN: 978-3-319-01270-4
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark
A Tale of Wiener and Itô Measures
E-Book, Englisch, Band 2088, 135 Seiten, eBook
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-319-01270-4
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark
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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Research
Autoren/Hrsg.
Weitere Infos & Material
Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.
