Local Times and Excursion Theory for Brownian Motion [electronic resource] :A Tale of Wiener and Itô Measures / by Ju-Yi Yen, Marc Yor.
by Yen, Ju-Yi [author.]; Yor, Marc [author.]; SpringerLink (Online service).
Material type:
BookSeries: Lecture Notes in Mathematics: 2088Publisher: Cham : Springer International Publishing : 2013.Description: IX, 135 p. 9 illus., 8 illus. in color. online resource.ISBN: 9783319012704.Subject(s): Mathematics | Distribution (Probability theory) | Mathematics | Probability Theory and Stochastic ProcessesDDC classification: 519.2 Online resources: Click here to access online
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Springer eBooksSummary: 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.
Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.
| Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| QA274-274.9 (Browse shelf) | Available | ||||
| Long Loan | MAIN LIBRARY | QA273.A1-274.9 (Browse shelf) | Available |
Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.
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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