Local Times and Excursion Theory for Brownian Motion [electronic resource] : A Tale of Wiener and Itȳ Measures / by Ju-Yi Yen, Marc Yor.
Tipo de material:
TextoSeries Lecture Notes in Mathematics, 2088Editor: Cham : Springer International Publishing : Imprint: Springer, 2013Descripción: IX, 135 p. 9 illus., 8 illus. in color. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783319012704Trabajos contenidos: SpringerLink (Online service)Tema(s): Mathematics | Distribution (Probability theory) | Mathematics | Probability Theory and Stochastic ProcessesFormatos físicos adicionales: Sin títuloClasificación CDD: 519.2 Clasificación LoC:QA273.A1-274.9QA274-274.9Recursos en línea: de clik aquí para ver el libro electrónico
Contenidos:
Springer eBooksResumen: 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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Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index.
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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