Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures

by Marc Yor and Ju-Yi Yen

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,...

• Format: Paperback
• Language: English
• ISBN: 331901269X
• ISBN13: 9783319012698
• Release Date: October 2013
• Publisher: Springer
• Length: 135 Pages
• Weight: 0.48 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"