Volume 2088 2013

Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures

Authors:

ISBN: 978-3-319-01269-8 (Print) 978-3-319-01270-4 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages i-ix

  2. No Access

    Book Chapter

    Pages 1-10

    Prerequisites

  3. Local Times of Continuous Semimartingales

    1. Front Matter

      Pages 11-11

    2. No Access

      Book Chapter

      Pages 13-28

      The Existence and Regularity of Semimartingale Local Times

    3. No Access

      Book Chapter

      Pages 29-41

      Lévy’s Representation of Reflecting BM and Pitman’s Representation of BES(3)

    4. No Access

      Book Chapter

      Pages 43-54

      Paul Lévy’s Arcsine Laws

  4. Excursion Theory for Brownian Paths

    1. Front Matter

      Pages 55-55

    2. No Access

      Book Chapter

      Pages 57-64

      Brownian Excursion Theory: A First Approach

    3. No Access

      Book Chapter

      Pages 65-77

      Two Descriptions of n: Itô’s and Williams’

    4. No Access

      Book Chapter

      Pages 79-92

      A Simple Path Decomposition of Brownian Motion Around Time t = 1

    5. No Access

      Book Chapter

      Pages 93-100

      The Laws of, and Conditioning with Respect to, Last Passage Times

    6. No Access

      Book Chapter

      Pages 101-104

      Integral Representations Relating W and n

  5. Some Applications of Excursion Theory

    1. Front Matter

      Pages 105-105

    2. No Access

      Book Chapter

      Pages 107-110

      The Feynman–Kac Formula and Excursion Theory

    3. No Access

      Book Chapter

      Pages 111-131

      Some Identities in Law

  6. Back Matter

    Pages 133-138