Coverart for item
The Resource 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, Ju Yi Yen, Marc Yor

Label
Local times and excursion theory for Brownian motion : a tale of wiener and itô measures
Title
Local times and excursion theory for Brownian motion
Title remainder
a tale of wiener and itô measures
Statement of responsibility
Ju Yi Yen, Marc Yor
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Cataloging source
HNK
http://library.link/vocab/creatorName
Yen, Ju-Yi
Dewey number
519.2/33
Illustrations
illustrations
Index
index present
Language note
English
LC call number
QA274.75
LC item number
.Y46 2013eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Yor, Marc
Series statement
Lecture notes in mathematics,
Series volume
2088
http://library.link/vocab/subjectName
  • Local times (Stochastic processes)
  • Brownian motion processes
  • Brownian motion processes
  • Local times (Stochastic processes)
Label
Local times and excursion theory for Brownian motion : a tale of wiener and itô measures, Ju Yi Yen, Marc Yor
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Brownian Excursion Theory: A First Approach
  • Two Descriptions of n: Itô's and Williams'
  • A Simple Path Decomposition of Brownian Motion Around Time t = 1
  • The Laws of, and Conditioning with Respect to, Last Passage Times
  • Integral Representations Relating W and n
  • Part III:
  • Some Applications of Excursion Theory.
  • The Feynman-Kac Formula and Excursion Theory
  • Some Identities in Law
  • Prerequisites
  • Part I:
  • Local Times of Continuous Semimartingales.
  • The Existence and Regularity of Semimartingale Local Times
  • Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3)
  • Paul Lévy's Arcsine Laws
  • Part II:
  • Excursion Theory for Brownian Paths.
Control code
859575095
Dimensions
unknown
Extent
1 online resource (ix, 135 pages)
Form of item
online
Isbn
9783319012704
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-01270-4
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)859575095
Label
Local times and excursion theory for Brownian motion : a tale of wiener and itô measures, Ju Yi Yen, Marc Yor
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Brownian Excursion Theory: A First Approach
  • Two Descriptions of n: Itô's and Williams'
  • A Simple Path Decomposition of Brownian Motion Around Time t = 1
  • The Laws of, and Conditioning with Respect to, Last Passage Times
  • Integral Representations Relating W and n
  • Part III:
  • Some Applications of Excursion Theory.
  • The Feynman-Kac Formula and Excursion Theory
  • Some Identities in Law
  • Prerequisites
  • Part I:
  • Local Times of Continuous Semimartingales.
  • The Existence and Regularity of Semimartingale Local Times
  • Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3)
  • Paul Lévy's Arcsine Laws
  • Part II:
  • Excursion Theory for Brownian Paths.
Control code
859575095
Dimensions
unknown
Extent
1 online resource (ix, 135 pages)
Form of item
online
Isbn
9783319012704
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-01270-4
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)859575095

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