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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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."
Imprint | Springer International Publishing AG |
Country of origin | Switzerland |
Series | Lecture Notes in Mathematics, 2088 |
Release date | October 2013 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2013 |
Authors | Ju-Yi Yen, Marc Yor |
Dimensions | 235 x 155 x 14mm (L x W x T) |
Format | Paperback |
Pages | 135 |
Edition | 2013 ed. |
ISBN-13 | 978-3-319-01269-8 |
Barcode | 9783319012698 |
Categories | |
LSN | 3-319-01269-X |