Lecture Notes in Mathematics: A Tale of Wiener and Itô Measures

Yen, Ju-Yi; Yor, Marc

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. 

Details

Published by: Springer

Publication Date: 2013-10-16

Format: Paperback

ISBN-13: 9783319012698

DOI: 10.1007/978-3-319-01270-4

Dimensions: 235cm x155cm

Pages: 135