Read While You Wait - Get immediate ebook access, if available*, when you order a print book

Lecture Notes in Mathematics

Local Times and Excursion Theory for Brownian Motion

A Tale of Wiener and Itô Measures

Authors: Yen, Ju-Yi, Yor, Marc

Free Preview
  • Both local times and excursion theory are usually discussed in much longer texts. We examine these topics in relation to readers’ basic knowledge of stochastic processes
  • Presents interesting applications of excursion theory
  • Similarly with local times of Brownian motion
see more benefits

Buy this book

eBook $39.99
price for USA in USD
  • ISBN 978-3-319-01270-4
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA in USD
  • ISBN 978-3-319-01269-8
  • Free shipping for individuals worldwide. COVID-19 shipping restrictions apply.
  • Immediate ebook access, if available*, with your print order
  • Usually ready to be dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this book

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. 

Reviews

“The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. … The lecture notes are an easily accessible and self-contained introduction … which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. … the proofs are mostly carried out with many details and helpful references are given in each chapter.” (David Prömel, zbMATH 1364.60003, 2017)


Table of contents (11 chapters)

Table of contents (11 chapters)

Buy this book

eBook $39.99
price for USA in USD
  • ISBN 978-3-319-01270-4
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA in USD
  • ISBN 978-3-319-01269-8
  • Free shipping for individuals worldwide. COVID-19 shipping restrictions apply.
  • Immediate ebook access, if available*, with your print order
  • Usually ready to be dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Local Times and Excursion Theory for Brownian Motion
Book Subtitle
A Tale of Wiener and Itô Measures
Authors
Series Title
Lecture Notes in Mathematics
Series Volume
2088
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-01270-4
DOI
10.1007/978-3-319-01270-4
Softcover ISBN
978-3-319-01269-8
Series ISSN
0075-8434
Edition Number
1
Number of Pages
IX, 135
Number of Illustrations
1 b/w illustrations, 8 illustrations in colour
Topics

*immediately available upon purchase as print book shipments may be delayed due to the COVID-19 crisis. ebook access is temporary and does not include ownership of the ebook. Only valid for books with an ebook version. Springer Reference Works and instructor copies are not included.