by Marc Yor (Contributor), Marc Yor (Contributor), Ju-Yi Yen (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.
Format: Paperback
Pages: 148
Edition: 2013
Publisher: Springer
Published: 16 Oct 2013
ISBN 10: 331901269X
ISBN 13: 9783319012698