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

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

Paperback

Series: Lecture Notes in Mathematics, Book 2088

Probability & Statistics

ISBN10: 331901269X
ISBN13: 9783319012698
Publisher: Springer
Published: Oct 16 2013
Pages: 135
Weight: 0.48
Height: 0.32 Width: 6.14 Depth: 9.21
Language: English

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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