Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures / Ju-Yi Yen, Marc Yor
Type de document : Livre numériqueCollection : Lecture notes in mathematics, 2088Langue : anglais.Éditeur : New York : Springer, cop. 2013ISBN: 9783319012698.ISSN: 0075-8434.Sujet MSC : 60J65, Probability theory and stochastic processes - Markov processes, Brownian motion60J55, Probability theory and stochastic processes - Markov processes, Local time and additive functionals
60G48, Probability theory and stochastic processes, Generalizations of martingales
60G17, Probability theory and stochastic processes, Sample path properties
60G44, Probability theory and stochastic processes, Martingales with continuous parameterEn-ligne : Springerlink | MSN
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Publisher’s 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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