Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures
The lecture notes provide an elementary and brief introduction to local times for continuous semimartingales and excursion theory for Brownian motion. The notes are divided into three parts. The first part presents the existence of local times associated to continuous semimartingales and their basic properties, representations of reflected Brownian motions and Bessel processes, and Lévy's arcsine laws. The second part is devoted to excursion theory for Brownian motion with focus on the Itô (characteristic) measure and the Wiener measure. It contains several representations of the Itô measure and its relation to the Wiener measure. The last part applies the previously developed Brownian excursion theory to prove a Feynman-Kac formula and some identities in law for stochastic processes related to the Brownian motion. The lecture notes are an easily accessible and self-contained introduction to the above mentioned topics, which are suitable for graduate students with a basic knowledge of stochastic processes in continuous time. For the convenience of the reader, the necessary background in probability theory is summarized in the first chapter, the proofs are mostly carried out with many details and helpful references are given in each chapter.
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- Occupation time of Lévy processes with jumps rational Laplace transforms
- On excursions inside an excursion
- Piecewise-tunneled captive processes and corridored random particle systems
- Limit fluctuations for density of asymmetric simple exclusion processes with open boundaries
- Fluctuations of random Motzkin paths
- Boundary traces of shift-invariant diffusions in half-plane
- Kac's formula, levy's local time and brownian excursion
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- Limit theorems of Brownian additive functionals
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- Lévy’s Second Arcsine Law Via The Ballot Theorem
- The maximal potential energy of biased random walks on trees
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- Maximum entropy random walks: the infinite setting and the example of spider networks with their scaling limits
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