Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures
 Responsibility
 JuYi Yen, Marc Yor.
 Imprint
 Cham [Switzerland] : Springer, c2013.
 Physical description
 ix, 135 p. : ill. (some col.) ; 24 cm.
 Series
 Lecture notes in mathematics (SpringerVerlag) 2088.
Access
Available online
Science Library (Li and Ma)
Serials
Call number  Status 

Shelved by Series title V.2088  Unknown 
More options
Creators/Contributors
 Author/Creator
 Yen, JuYi.
 Contributor
 Yor, Marc.
Contents/Summary
 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 FeynmanKac Formula and Excursion Theory
 Some Identities in Law.
 Publisher's 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 FeynmanKac formula.
(source: Nielsen Book Data)9783319012698 20160612
Subjects
Bibliographic information
 Publication date
 2013
 Series
 Lecture notes in mathematics, 00758434 ; 2088
 ISBN
 9783319012698
 331901269X