Authors:
- Both local times and excursion theory are usually discussed in much longer texts. We examine these topics in relation to readers’ basic knowledge of stochastic processes
- Presents interesting applications of excursion theory
- Similarly with local times of Brownian motion
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 2088)
Buy it now
Buying options
Tax calculation will be finalised at checkout
Other ways to access
This is a preview of subscription content, log in via an institution to check for access.
Table of contents (11 chapters)
-
Front Matter
-
Local Times of Continuous Semimartingales
-
Front Matter
-
-
Excursion Theory for Brownian Paths
-
Front Matter
-
-
Some Applications of Excursion Theory
-
Front Matter
-
-
Back Matter
About this book
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
Authors and Affiliations
-
Department of Mathematical Sciences, University of Cincinnati, Cincinnati, USA
Ju-Yi Yen
-
Labo. Probabilités et Modèles Aléatoires, Université Paris VI CNRS UMR 7599, Paris CX 05, France
Marc Yor
Bibliographic Information
Book Title: Local Times and Excursion Theory for Brownian Motion
Book Subtitle: A Tale of Wiener and Itô Measures
Authors: Ju-Yi Yen, Marc Yor
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/978-3-319-01270-4
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2013
Softcover ISBN: 978-3-319-01269-8Published: 16 October 2013
eBook ISBN: 978-3-319-01270-4Published: 01 October 2013
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: IX, 135
Number of Illustrations: 1 b/w illustrations, 8 illustrations in colour
Industry Sectors: Aerospace, Biotechnology, Consumer Packaged Goods, Electronics, Energy, Utilities & Environment, Finance, Business & Banking, IT & Software, Pharma, Telecommunications