Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures (Lecture Notes in Mathematics, 2088)
ISBN-13:
9783319012698
ISBN-10:
331901269X
Edition:
2013
Author:
Marc Yor, Ju-Yi Yen
Publication date:
2013
Publisher:
Springer
Format:
Paperback
144 pages
Category:
Applied
,
Mathematics
FREE US shipping
Book details
ISBN-13:
9783319012698
ISBN-10:
331901269X
Edition:
2013
Author:
Marc Yor, Ju-Yi Yen
Publication date:
2013
Publisher:
Springer
Format:
Paperback
144 pages
Category:
Applied
,
Mathematics
Summary
Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures (Lecture Notes in Mathematics, 2088) (ISBN-13: 9783319012698 and ISBN-10: 331901269X), written by authors
Marc Yor, Ju-Yi Yen, was published by Springer in 2013.
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Description
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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