Library of American University of Madaba
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Yen, Ju-Yi.
Local Times and Excursion Theory for Brownian Motion A Tale of Wiener and Itô Measures / [electronic resource] : by Ju-Yi Yen, Marc Yor. - IX, 135 p. 9 illus., 8 illus. in color. online resource. - Lecture Notes in Mathematics, 2088 0075-8434 ; .
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.
9783319012704
Mathematics.
Distribution (Probability theory).
Mathematics.
Probability Theory and Stochastic Processes.
QA273.A1-274.9 QA274-274.9
519.2
Local Times and Excursion Theory for Brownian Motion A Tale of Wiener and Itô Measures / [electronic resource] : by Ju-Yi Yen, Marc Yor. - IX, 135 p. 9 illus., 8 illus. in color. online resource. - Lecture Notes in Mathematics, 2088 0075-8434 ; .
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.
9783319012704
Mathematics.
Distribution (Probability theory).
Mathematics.
Probability Theory and Stochastic Processes.
QA273.A1-274.9 QA274-274.9
519.2