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Local times and excursion theory for Brownian motion : a tale of wiener and itô measures

作者: Ju-Yi Yen; Marc Yor; SpringerLink (Online service)
出版商: Cham, Switzerland : Springer, ©2013.
叢書: Lecture notes in mathematics (Springer-Verlag), 2088.
版本/格式:   電子書 : 文獻 : 英語所有版本和格式的總覽
資料庫:WorldCat
提要:
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  再讀一些...
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類型/形式: Electronic books
資料類型: 文獻, 網際網路資源
文件類型: 網路資源, 電腦資料
所有的作者/貢獻者: Ju-Yi Yen; Marc Yor; SpringerLink (Online service)
ISBN: 9783319012704 3319012703
OCLC系統控制編碼: 859575095
描述: 1 online resource (ix, 135 p.) : ill.
内容: Prerequisites --
Part I: Local Times of Continuous Semimartingales. The Existence and Regularity of Semimartingale Local Times --
Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3) --
Paul Lévy's Arcsine Laws --
Part II: Excursion Theory for Brownian Paths. Brownian Excursion Theory: A First Approach --
Two Descriptions of n: Itô's and Williams' --
A Simple Path Decomposition of Brownian Motion Around Time t = 1 --
The Laws of, and Conditioning with Respect to, Last Passage Times --
Integral Representations Relating W and n --
Part III: Some Applications of Excursion Theory. The Feynman-Kac Formula and Excursion Theory --
Some Identities in Law.
叢書名: Lecture notes in mathematics (Springer-Verlag), 2088.
責任: Ju Yi Yen, Marc Yor.
更多資訊:

摘要:

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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