Description |
1 online resource (ix, 135 pages) : illustrations |
Series |
Lecture notes in mathematics, 1617-9692 ; 2088 |
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Lecture notes in mathematics (Springer-Verlag) ; 2088.
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Contents |
Prerequisites -- Part I: Local Times of Continuous Semimartingales. The Existence and Regularity of Semimartingale Local Times -- Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3) -- Paul Lévy's Arcsine Laws -- Part II: Excursion Theory for Brownian Paths. Brownian Excursion Theory: A First Approach -- Two Descriptions of n: Itô's and Williams' -- A Simple Path Decomposition of Brownian Motion Around Time t = 1 -- The Laws of, and Conditioning with Respect to, Last Passage Times -- Integral Representations Relating W and n -- Part III: Some Applications of Excursion Theory. The Feynman-Kac Formula and Excursion Theory -- Some Identities in Law |
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 |
Bibliography |
Includes bibliographical references and index |
Notes |
English |
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Online resource; title from PDF title page (SpringerLink, viewed October 7, 2013) |
Subject |
Local times (Stochastic processes)
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Brownian motion processes.
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Brownian motion processes
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Local times (Stochastic processes)
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Form |
Electronic book
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Author |
Yor, Marc.
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ISBN |
9783319012704 |
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3319012703 |
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