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Local times and excursion theory for Brownian motion a tale of wiener and itô measures Ju Yi Yen, Marc Yor
Springer Nature - Springer Mathematics and Statistics (R0) eBooks 2013 English International Available online
View online- Format:
- Book
- Author/Creator:
- Yen, Ju-Yi
- Series:
- Lecture notes in mathematics (Springer-Verlag) 2088
- Lecture notes in mathematics 1617-9692 2088
- Language:
- English
- Subjects (All):
- Local times (Stochastic processes).
- Brownian motion processes.
- Distribution (Probability theory).
- distribution (statistics-related concept).
- Physical Description:
- 1 online resource
- Place of Publication:
- Cham, Switzerland Springer ©2013
- Language Note:
- English
- System Details:
- text file
- Summary:
- 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
- Contents:
- Prerequisites
- Part I: Local Times of Continuous Semimartingales. The Existence and Regularity of Semimartingale Local Times Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3) Paul Lévy's Arcsine Laws
- Part II: Excursion Theory for Brownian Paths. Brownian Excursion Theory: A First Approach Two Descriptions of n: Itô's and Williams' A Simple Path Decomposition of Brownian Motion Around Time t = 1 The Laws of, and Conditioning with Respect to, Last Passage Times Integral Representations Relating W and n
- Part III: Some Applications of Excursion Theory. The Feynman-Kac Formula and Excursion Theory Some Identities in Law
- Notes:
- Includes bibliographical references and index
- Online resource; title from PDF title page (SpringerLink, viewed October 7, 2013)
- Other Format:
- Printed edition:
- ISBN:
- 9783319012704
- 3319012703
- OCLC:
- 859575095
- Access Restriction:
- Restricted for use by site license
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