Local Times and Excursion Theory for Brownian Motion : A Tale of Wiener and Ito Measures
2013 ed.
Book Details
Format
Paperback / Softback
Book Series
Lecture Notes in Mathematics
ISBN-10
331901269X
ISBN-13
9783319012698
Edition
2013 ed.
Publisher
Springer International Publishing AG
Imprint
Springer International Publishing AG
Country of Manufacture
CH
Country of Publication
GB
Publication Date
Oct 16th, 2013
Print length
135 Pages
Weight
244 grams
Dimensions
15.30 x 23.70 x 1.40 cms
Product Classification:
Probability & statisticsProbability and statisticsStochastics
Ksh 5,950.00
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This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths.
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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