Local Times and Excursion Theory for Brownian Motion
Author: Ju-Yi Yen
Publisher: Springer
Published: 2013-10-01
Total Pages: 135
ISBN-13: 3319012703
DOWNLOAD EBOOK →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.