Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures

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 con...

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Detalles Bibliográficos
Autores principales: Yen, Ju-Yi, Yor, Marc
Lenguaje:eng
Publicado: Springer 2013
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-3-319-01270-4
http://cds.cern.ch/record/1690662
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author Yen, Ju-Yi
Yor, Marc
author_facet Yen, Ju-Yi
Yor, Marc
author_sort Yen, Ju-Yi
collection CERN
description 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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institution Organización Europea para la Investigación Nuclear
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publishDate 2013
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spelling cern-16906622021-04-21T21:14:12Zdoi:10.1007/978-3-319-01270-4http://cds.cern.ch/record/1690662engYen, Ju-YiYor, MarcLocal times and excursion theory for Brownian motion: a tale of Wiener and Itô measuresMathematical Physics and MathematicsThis 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.Springeroai:cds.cern.ch:16906622013
spellingShingle Mathematical Physics and Mathematics
Yen, Ju-Yi
Yor, Marc
Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title_full Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title_fullStr Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title_full_unstemmed Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title_short Local times and excursion theory for Brownian motion: a tale of Wiener and Itô measures
title_sort local times and excursion theory for brownian motion: a tale of wiener and itô measures
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-319-01270-4
http://cds.cern.ch/record/1690662
work_keys_str_mv AT yenjuyi localtimesandexcursiontheoryforbrownianmotionataleofwieneranditomeasures
AT yormarc localtimesandexcursiontheoryforbrownianmotionataleofwieneranditomeasures

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