Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures
著者
書誌事項
Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures
(Lecture notes in mathematics, 2088)
Springer, c2013
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.
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