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

Brownian motionsemimartingaleFeynman-Kac formulaWiener measureBessel processlocal timesstochastic processexcursion theorypassage timesarcsine lawsidentities in lawItô measure

Mathematics Subject Classification ID

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

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