Japanese Journal of Mathematics

, Volume 2, Issue 1, pp 83–96

Itô’s excursion theory and its applications

Special Feature: Award of the 1st Gauss Prize to K. Ito

DOI: 10.1007/s11537-007-0661-z

Cite this article as:
Pitman, J. & Yor, M. Jpn. J. Math. (2007) 2: 83. doi:10.1007/s11537-007-0661-z

Abstract.

A presentation of Itô’s excursion theory for general Markov processes is given, with several applications to Brownian motion and related processes.

Keywords and phrases:

excursion theory Poisson point process Lévy processes 

Mathematics Subject Classification (2000):

60J65 60J60 

Copyright information

© The Mathematical Society of Japan and Springer 2007

Authors and Affiliations

  1. 1.Statistics Department, 367 Evans Hall #3860University of CaliforniaBerkeleyUSA
  2. 2.Laboratoire de Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Institut Universitaire de FranceParisFrance

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