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- Autorius: Ju-Yi Yen, Marc Yor
- Leidėjas: Springer-Verlag GmbH
- Metai: 2013
- ISBN: 9783319012704
- ISBN-10: 3319012703
- ISBN-13: 9783319012704
- Formatas: PDF
- Kalba: Anglų
Local Times and Excursion Theory for Brownian Motion (el. knyga) (skaityta knyga) | knygos.lt
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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. 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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- Autorius: Ju-Yi Yen, Marc Yor
- Leidėjas: Springer-Verlag GmbH
- Metai: 2013
- ISBN: 9783319012704
- ISBN-10: 3319012703
- ISBN-13: 9783319012704
- Formatas: PDF
- Kalba: Anglų
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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