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    3. 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

    Posted By: ChrisRedfield
    Date: 22 Apr 2015 14:39:43
    Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures

    Ju-Yi Yen, Marc Yor - Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Itô Measures
    Published: 2013-10-16 | ISBN: 331901269X | PDF | 135 pages | 0.9 MB


    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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