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

DOI10.1007/978-3-319-01270-4MaRDI QIDQ2393403zbMATH OpenOpenAlexFDO

Authors 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

arcsine lawsBessel processBrownian motionexcursion theoryFeynman-Kac formulaidentities in lawItô measurelocal timespassage timessemimartingalestochastic processWiener measure

Mathematics Subject Classification ID

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

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Cited in

(31)

• Pathwise stochastic calculus with local times
• The excursion measure away from zero for spectrally negative Lévy processes
• Dual representations of Laplace transforms of Brownian excursion and generalized meanders
• Stochastic spikes and strong noise limits of stochastic differential equations
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• 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
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• Boundary traces of shift-invariant diffusions in half-plane
• Kac's formula, levy's local time and brownian excursion
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• Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
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• Captive diffusions and their applications to order-preserving dynamics
• Time changes of the Brownian motion: Poincaré inequality, heat kernel estimate and protodistance
• Time- and ensemble-average statistical mechanics of the Gaussian network model
• On Optimal Linear Regulator with Polynomial Process of External Excitations
• Limit theorems of Brownian additive functionals
• Captive jump processes for bounded random systems with discontinuous dynamics
• An Analog of Local Time of Complex Brownian Motion Process
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
• Lévy’s Second Arcsine Law Via The Ballot Theorem
• The maximal potential energy of biased random walks on trees
• Arcsine laws for Brownian motion with Poissonian resetting
• An arbitrage driven price dynamics of automated market makers in the presence of fees
• Explicit occupation-time laws via operator reduction for Lévy processes with two-sided rational jumps
• Maximum entropy random walks: the infinite setting and the example of spider networks with their scaling limits
• On generalized arcsine laws and residual allocation models

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