Local Times and Excursion Theory for Brownian Motion
A Tale of Wiener and Itô Measures| By: | Ju-Yi Yen; Marc Yor |
| Publisher: | Springer Nature |
| Print ISBN: | 9783319012698 |
| eText ISBN: | 9783319012704 |
| Edition: | 0 |
| Copyright: | 2013 |
| Format: | Reflowable |
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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.