Advances in Mathematical Finance
Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott
Inbunden, 2007
1 137 kr
Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
423 kr
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Beskrivning
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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Advances in Mathematical Finance
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