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E-book
Author Yen, Ju-Yi

Title Local times and excursion theory for Brownian motion : a tale of wiener and itô measures / Ju Yi Yen, Marc Yor
Published Cham, Switzerland : Springer, ©2013

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Description 1 online resource (ix, 135 pages) : illustrations
Series Lecture notes in mathematics, 1617-9692 ; 2088
Lecture notes in mathematics (Springer-Verlag) ; 2088.
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
Online resource; title from PDF title page (SpringerLink, viewed October 7, 2013)
Subject Local times (Stochastic processes)
Brownian motion processes.
Brownian motion processes
Local times (Stochastic processes)
Form Electronic book
Author Yor, Marc.
ISBN 9783319012704
3319012703