Authors:
Both local times and excursion theory are usually discussed in much longer texts. We examine these topics in relation to readers’ basic knowledge of stochastic processes
Presents interesting applications of excursion theory
Similarly with local times of Brownian motion
Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 2088)
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Table of contents (11 chapters)
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Front Matter
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Local Times of Continuous Semimartingales
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Front Matter
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Excursion Theory for Brownian Paths
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Front Matter
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Some Applications of Excursion Theory
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Front Matter
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Back Matter
About this book
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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Authors and Affiliations
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Department of Mathematical Sciences, University of Cincinnati, Cincinnati, USA
Ju-Yi Yen
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Labo. Probabilités et Modèles Aléatoires, Université Paris VI CNRS UMR 7599, Paris CX 05, France
Marc Yor
Bibliographic Information
Book Title: Local Times and Excursion Theory for Brownian Motion
Book Subtitle: A Tale of Wiener and Itô Measures
Authors: Ju-Yi Yen, Marc Yor
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/978-3-319-01270-4
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2013
Softcover ISBN: 978-3-319-01269-8Published: 16 October 2013
eBook ISBN: 978-3-319-01270-4Published: 01 October 2013
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: IX, 135
Number of Illustrations: 1 b/w illustrations, 8 illustrations in colour
Topics: Probability Theory