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Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures de Ju-Yi Yen

Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures: Lecture Notes in Mathematics, cartea 2088

Autor Ju-Yi Yen, Marc Yor
en Limba Engleză Paperback – 16 oct 2013
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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Specificații

ISBN-13: 9783319012698
ISBN-10: 331901269X
Pagini: 148
Ilustrații: IX, 135 p. 9 illus., 8 illus. in color.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.22 kg
Ediția:2013
Editura: Springer International Publishing
Colecția Springer
Seria Lecture Notes in Mathematics

Locul publicării:Cham, Switzerland

Public țintă

Research

Cuprins

Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.

Recenzii

“The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. … The lecture notes are an easily accessible and self-contained introduction … which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. … the proofs are mostly carried out with many details and helpful references are given in each chapter.” (David Prömel, zbMATH 1364.60003, 2017)

Textul de pe ultima copertă

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.

Caracteristici

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