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Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures / Ju-Yi Yen, Marc Yor.

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Author/Creator:
Yen, Ju-Yi.
Language:
English.
Publication date:
2013
Imprint:
Cham [Switzerland] : Springer, c2013.
Format:
  • Book
  • ix, 135 p. : ill. (some col.) ; 24 cm.
Bibliography:
Includes bibliographical references and index.
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.
Contributor:
Yor, Marc.
Series:
Lecture notes in mathematics, 0075-8434 ; 2088
Lecture notes in mathematics (Springer-Verlag) 2088.
Subjects:
ISBN:
9783319012698
331901269X

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