Local Times and Excursion Theory for Brownian Motion A Tale of Wiener and Itô Measures /

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 con...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Yen, Ju-Yi (Autor), Yor, Marc (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:Lecture Notes in Mathematics, 2088
Temas:
Probabilities.
Probability Theory.
Acceso en línea:Texto Completo
Descripción
Sumario: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.
Descripción Física:IX, 135 p. 9 illus., 8 illus. in color. online resource.
ISBN:9783319012704
ISSN:1617-9692 ;

Ejemplares similares