Del 2088 - Lecture Notes in Mathematics

Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures

Häftad, Engelska, 2013

Av Ju-Yi Yen, Marc Yor

539 kr

Beställningsvara. Skickas inom 10-15 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

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.

Produktinformation

Utgivningsdatum2013-10-16
Mått155 x 235 x 14 mm
Vikt244 g
FormatHäftad
SpråkEngelska
SerieLecture Notes in Mathematics
Antal sidor135
FörlagSpringer International Publishing AG
ISBN9783319012698

Tillhör följande kategorier

“The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. … The lecture notes are an easily accessible and self-contained introduction … which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. … the proofs are mostly carried out with many details and helpful references are given in each chapter.” (David Prömel, zbMATH 1364.60003, 2017)