Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures: 2088 (Lecture Notes in Mathematics)

by Marc Yor (Contributor), Marc Yor (Contributor), Ju-Yi Yen (Author)

• New

  Paperback
  2013

  $39.61

  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.