Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
1st Edition
Published on 16. October 2013
Book
Paperback/Softback
IX, 135 pages
978-3-319-01269-8 (ISBN)
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.
Reviews / Votes
"The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. ... The lecture notes are an easily accessible and self-contained introduction ... which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. ... the proofs are mostly carried out with many details and helpful references are given in each chapter." (David Proemel, zbMATH 1364.60003, 2017)"The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. ... The lecture notes are an easily accessible and self-contained introduction ... which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. ... the proofs are mostly carried out with many details and helpful references are given in each chapter." (David Proemel, zbMATH 1364.60003, 2017)
More details
Product info
Paperback
Series
Edition
2013
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Research
Illustrations
8
1 s/w Abbildung, 8 farbige Abbildungen
IX, 135 p. 9 illus., 8 illus. in color.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 9 mm
Weight
236 gr
ISBN-13
978-3-319-01269-8 (9783319012698)
DOI
10.1007/978-3-319-01270-4
Schweitzer Classification
Other editions
Additional editions
Ju-Yi Yen | Marc Yor
Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
E-Book
10/2013
Springer
€39.58
Available for download
Content
Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.