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portada Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures
Type
Physical Book
Author
Publisher
Language
English
Pages
135
Format
Paperback
Dimensions
23.4 x 15.6 x 0.8 cm
Weight
0.22 kg.
ISBN13
9783319012698
Categories

Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures

Marc Yor (Author) · Ju-Yi Yen (Author) · Springer · Paperback

Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures - Yen, Ju-Yi ; Yor, Marc

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Synopsis "Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô 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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