| Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures 2013 Edition Contributor(s): Yen, Ju-Yi (Author), Yor, Marc (Author) |
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ISBN: 331901269X ISBN-13: 9783319012698 Publisher: Springer OUR PRICE: $42.74 Product Type: Paperback Published: October 2013 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519.2 |
| Series: Lecture Notes in Mathematics |
| Physical Information: 0.32" H x 6.14" W x 9.21" (0.48 lbs) 135 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |