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
Resource Information
The item Local times and excursion theory for Brownian motion : a tale of wiener and itô measures, Ju Yi Yen, Marc Yor represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Local times and excursion theory for Brownian motion : a tale of wiener and itô measures, Ju Yi Yen, Marc Yor represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 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 FeynmanKac formula
 Language
 eng
 Extent
 1 online resource (ix, 135 pages)
 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 FeynmanKac 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.
 Isbn
 9783319012704
 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
 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 FeynmanKac formula
 Cataloging source
 HNK
 http://library.link/vocab/creatorName
 Yen, JuYi
 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
 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 FeynmanKac 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
 10.1007/9783319012704
 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
 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 FeynmanKac 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
 10.1007/9783319012704
 Other physical details
 illustrations.
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)859575095
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/LocaltimesandexcursiontheoryforBrownian/m5Bzw5D94D4/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/LocaltimesandexcursiontheoryforBrownian/m5Bzw5D94D4/">Local times and excursion theory for Brownian motion : a tale of wiener and itô measures, Ju Yi Yen, Marc Yor</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>