Skip to main content

Williams' characterisation of the Brownian excursion law: proof and applications

  • Conference paper
  • First Online:
Séminaire de Probabilités XV 1979/80

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 850))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 44.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 59.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. AZEMA, J., YOR, M. Une solution simple au problème de Skorokhod. Séminaire de Probabilités XIII, SLN 721, Springer (1979).

    Google Scholar 

  2. ITÔ, K. Poisson point processes attached to Markov processes. Proc. 6th Berkeley Symposium Math. Statist. and Prob. Univ. of California Press (1971).

    Google Scholar 

  3. JEULIN, T., YOR, M. Lois de certaines fonctionelles du mouvement Brownien et de son temps Local. Séminaire de Probabilités XV (1981).

    Google Scholar 

  4. KNIGHT, F.B. On the sojourn times of killed Brownian motion. Séminaire de Probabilités XII, SLN 649, Springer (1978).

    Google Scholar 

  5. LEHOCZKY, J. Formulas for stopped diffusion processes with stopping times based on the maximum. Ann. Probability 5 pp. 601–608 (1977).

    Article  MathSciNet  MATH  Google Scholar 

  6. PIERRE, M. Le problème de Skorokhod; Une remarque sur la démonstration d'Azéma-Yor. Séminaire de Probabilités XIV, SLN 784, Springer (1980).

    Google Scholar 

  7. TAYLOR, H.M. A stopped Brownian motion formula. Ann. Probability 3 pp.234–246 (1975).

    Article  MathSciNet  MATH  Google Scholar 

  8. WILLIAMS, D. Path decomposition and continuity of local time for one-dimensional diffusions. Proc. London Math. Soc. (3) 28 pp.738–768 (1974).

    Article  MathSciNet  MATH  Google Scholar 

  9. WILLIAMS, D. On a stopped Brownian motion formula of H.M. Taylor. Séminaire de Probabilités X, SLN 511, Springer (1976).

    Google Scholar 

  10. WILLIAMS, D. The Itô excursion law for Brownian motion. (unpublished — but see §II.67 of Williams' book ‘Diffusions,Markov processes, and martingales’ (Wiley, 1979).)

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Jacques Azéma Marc Yor

Rights and permissions

Reprints and permissions

Copyright information

© 1981 Springer-Verlag

About this paper

Cite this paper

Rogers, L.C.G. (1981). Williams' characterisation of the Brownian excursion law: proof and applications. In: Azéma, J., Yor, M. (eds) Séminaire de Probabilités XV 1979/80. Lecture Notes in Mathematics, vol 850. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0088371

Download citation

  • DOI: https://doi.org/10.1007/BFb0088371

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10689-0

  • Online ISBN: 978-3-540-38610-0

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics