Local Times and Excursion Theory for Brownian Motion : A Tale of Wiener and Ito Measures PDF
by Ju-Yi Yen, Marc Yor
Part of the Lecture Notes in Mathematics series
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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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- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:01/10/2013
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- ISBN:9783319012704
Information
-
Download Now
- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:01/10/2013
- Category:
- ISBN:9783319012704
