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- Author: Ju-Yi Yen, Marc Yor
- Publisher: Springer-Verlag GmbH
- Year: 2013
- ISBN: 9783319012704
- ISBN-10: 3319012703
- ISBN-13: 9783319012704
- Format: PDF
- Language: English
Local Times and Excursion Theory for Brownian Motion (e-book) (used book) | bookbook.eu
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Description
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.
- Author: Ju-Yi Yen, Marc Yor
- Publisher: Springer-Verlag GmbH
- Year: 2013
- ISBN: 9783319012704
- ISBN-10: 3319012703
- ISBN-13: 9783319012704
- Format: PDF
- Language: English English
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.
Reviews