Local Times and Excursion Theory for Brownian Motion [[electronic resource] ] : A Tale of Wiener and Itô Measures / / by Ju-Yi Yen, Marc Yor
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| Autore: |
Yen Ju-Yi
|
| Titolo: |
Local Times and Excursion Theory for Brownian Motion [[electronic resource] ] : A Tale of Wiener and Itô Measures / / by Ju-Yi Yen, Marc Yor
|
| Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2013 |
| Edizione: | 1st ed. 2013. |
| Descrizione fisica: | 1 online resource (IX, 135 p. 9 illus., 8 illus. in color.) |
| Disciplina: | 519.2 |
| Soggetto topico: | Probabilities |
| Probability Theory and Stochastic Processes | |
| Persona (resp. second.): | YorMarc |
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Nota di contenuto: | Prerequisites -- Local times of continuous semimartingales -- Excursion theory for Brownian paths -- Some applications of Excursion Theory -- Index. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Local Times and Excursion Theory for Brownian Motion |
| ISBN: | 3-319-01270-3 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 996466653003316 |
| Lo trovi qui: | Univ. di Salerno |
| Opac: | Controlla la disponibilità qui |
Serie:
Lecture Notes in Mathematics, . 0075-8434 ; ; 2088