Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures: 2088 (Lecture Notes in Mathematics) - Softcover

Yen, Ju-Yi; Yor, Marc

 
9783319012698: Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures: 2088 (Lecture Notes in Mathematics)
Softcover
ISBN 10: 331901269X ISBN 13: 9783319012698
Verlag: Springer, 2013

Inhaltsangabe

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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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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Verlag
Springer
Erscheinungsdatum
2013
Sprache
Englisch
ISBN 10 
331901269X
ISBN 13 
9783319012698
Einband
Tapa blanda
Anzahl der Seiten
148
Kontakt zum Hersteller
Nicht verfügbar
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