Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures
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Produkt beskrivelse
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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Detaljer
- ISBN13 9783319012704
- Udgivet 2013
- Forlag Springer
- Format Elektronisk medie
- Sprog Engelsk