Local Times and Excursion Theory for Brownian Motion: A Tale Of Wiener And Ito Measures by Ju-Yi YenLocal Times and Excursion Theory for Brownian Motion: A Tale Of Wiener And Ito Measures by Ju-Yi Yen

Local Times and Excursion Theory for Brownian Motion: A Tale Of Wiener And Ito Measures

byJu-Yi Yen, Marc Yor

Paperback | October 16, 2013

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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. 

Title:Local Times and Excursion Theory for Brownian Motion: A Tale Of Wiener And Ito MeasuresFormat:PaperbackDimensions:135 pagesPublished:October 16, 2013Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:331901269X

ISBN - 13:9783319012698

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Table of Contents

Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.

Editorial Reviews

"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)