Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
Ju-Yi Yen author Marc Yor author
Format:Paperback
Publisher:Springer International Publishing AG
Published:16th Oct '13
Currently unavailable, and unfortunately no date known when it will be back
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.
“The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. … The lecture notes are an easily accessible and self-contained introduction … which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. … the proofs are mostly carried out with many details and helpful references are given in each chapter.” (David Prömel, zbMATH 1364.60003, 2017)
ISBN: 9783319012698
Dimensions: unknown
Weight: 237g
135 pages
2013 ed.