Local Times and Excursion Theory for Brownian Motion A Tale of Wiener and Itô Measures /
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 con...
| Main Authors: | , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2013.
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| Series: | Lecture Notes in Mathematics,
2088 |
| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
| Summary: | 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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| Physical Description: | IX, 135 p. 9 illus., 8 illus. in color. online resource. |
| ISBN: | 9783319012704 |
| ISSN: | 0075-8434 ; |
