Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures

DOI10.1007/978-3-319-01270-4zbMath1364.60003OpenAlexW2496773418MaRDI QIDQ2393403

Ju-Yi Yen, Marc Yor

Publication date: 7 August 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-01270-4

zbMATH Keywords

Bessel processBrownian motionWiener measurestochastic processlocal timesFeynman-Kac formulaexcursion theorysemimartingalepassage timesItô measurearcsine lawsidentities in law

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Brownian motion (60J65) Generalizations of martingales (60G48) Local time and additive functionals (60J55) Foundations of stochastic processes (60G05)

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