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eBook details

• Title: Local Times and Excursion Theory for Brownian Motion
• Author : Ju-Yi Yen & Marc Yor
• Release Date : January 01, 2013
• Genre: Mathematics,Books,Science & Nature,
• Pages : * pages
• Size : 2712 KB

Description

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.

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