Local times and excursion theory for Brownian motion : a tale of wiener and itÃ´ measures
859575095
2013
2013
859575095
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.
Electronic books
en
Local times (Stochastic processes)
Cham, Switzerland
Brownian motion processes
to access electronic resource
Yen
Ju-Yi
Ju-Yi Yen
Springer
Springer eBooks (Complete Collection)
2018-03-10
9783319012704
3319012703
View Full Text
1617-9692
Lecture notes in mathematics,
Lecture notes in mathematics (Springer-Verlag) ;
Printed edition:
sz
Yor
Marc
Marc Yor
Full text available from SpringerLINK eBooks - English/International Collection (2013)