Local Times and Excursion Theory for Brownian Motion

Released on by Ju-Yi Yen
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  • Local Times and Excursion Theory for Brownian Motion Book Detail

  • Author : Ju-Yi Yen
  • Release Date : 2013-10-01
  • Publisher : Springer
  • Genre : Mathematics
  • Pages : 140
  • ISBN 13 : 3319012703
  • File Size : 15,15 MB
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Local Times and Excursion Theory for Brownian Motion by Ju-Yi Yen PDF Summary

Book 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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Aspects of Brownian Motion

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Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes.