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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.
“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)
Innehållsförteckning
Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.
John Chapman, Steve Cousins, Bisserka Gaydarska, Mark Gillings, Karen Hardy, Eniko Magyari, Robert Shiel, Denise Telford, Katalin Biró, Chris Bond, David Brookshaw