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

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)

Synopsis

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.

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More Information

Format: Paperback
Pages: 148
Edition: 2013
Publisher: Springer
Published: 16 Oct 2013

ISBN 10: 331901269X
ISBN 13: 9783319012698