Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures

AvJu-Yi Yen,Marc Yor

Häftad, Engelska, 2013

Del 2088 i serien Lecture Notes in Mathematics

419 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.

Produktinformation

Utgivningsdatum:2013-10-16
Mått:155 x 235 x 14 mm
Vikt:244 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Mathematics
Antal sidor:135
Förlag:Springer International Publishing AG
ISBN:9783319012698

Utforska kategorier

Recensioner i media

“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.

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