Local Times and Excursion Theory for Brownian Motion [electronic resource] : A Tale of Wiener and Itô Measures /
Yen, Ju-Yi.author.
Yor, Marc.author.
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.
Bibliographic Level Mode of Issuance: Monograph
Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.
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.
Probabilities.
Probability Theory and Stochastic Processes.