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Local Times and Excursion Theory for Brownian Motion

Local Times and Excursion Theory for Brownian Motion

Ju-Yi Yen / Marc Yor

62,02 €
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Editorial:
Springer Nature B.V.
Año de edición:
2013
Materia
Probabilidad y estadística
ISBN:
9783319012698
62,02 €
IVA incluido
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Sobre IBD

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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