Williams' characterisation of the brownian excursion law : proof and applications

L. C. G. Rogers

Séminaire de probabilités de Strasbourg (1981)

  • Volume: 15, page 227-250

How to cite

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Rogers, L. C. G.. "Williams' characterisation of the brownian excursion law : proof and applications." Séminaire de probabilités de Strasbourg 15 (1981): 227-250. <http://eudml.org/doc/113325>.

@article{Rogers1981,
author = {Rogers, L. C. G.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian excursion law; local time; Skorokhod problem; Bessel process; path decomposition; Laplace transforms},
language = {eng},
pages = {227-250},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Williams' characterisation of the brownian excursion law : proof and applications},
url = {http://eudml.org/doc/113325},
volume = {15},
year = {1981},
}

TY - JOUR
AU - Rogers, L. C. G.
TI - Williams' characterisation of the brownian excursion law : proof and applications
JO - Séminaire de probabilités de Strasbourg
PY - 1981
PB - Springer - Lecture Notes in Mathematics
VL - 15
SP - 227
EP - 250
LA - eng
KW - Brownian excursion law; local time; Skorokhod problem; Bessel process; path decomposition; Laplace transforms
UR - http://eudml.org/doc/113325
ER -

References

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  1. [1] Azema, J., Yor M., Une solution simple au problème de Skorokhod. Séminaire de Probabilités XIII, SLN721, Springer (1979). Zbl0414.60055MR544782
  2. [2] Itô K., Poisson point processes attached to Markov processes. Proc. 6th Berkeley Symposium Math. Statist. and Prob.Univ. of California Press (1971). Zbl0284.60051MR402949
  3. [31 Jeulin, T., Yor M., Lois de certaines fonctionelles du mouvement Brownien et de son temps Local. Séminaire de Probabilités XV (1981). 
  4. [4] Knight, F.B.On the sojourn times of killed Brownian motion. Séminaire de Probabilités XII, SLN649, Springer (1978). Zbl0376.60082MR520018
  5. [5] Lehoczky, J.Formulas for stopped diffusion processes with stopping times based on the maximum. Ann. Probability5 pp.601-608 (1977). Zbl0367.60093MR458570
  6. [6] Pierre, M.Le problème de Skorokhod; Une remarque sur la démonstration d'Azéma-Yor. Séminaire de Probabilités XIV, SLN784, Springer (1980). Zbl0426.60048MR580143
  7. [7] Taylor, H.M.A stopped Brownian motion formula. Ann. Probability3 pp.234-246 (1975). Zbl0303.60072MR375486
  8. [8] Williams, D.Path decomposition and continuity of local time for one-dimensional diffusions. Proc. London Math. Soc. (3) 28 pp.738-768 (1974). Zbl0326.60093MR350881
  9. [91 Williams, D.On a stopped Brownian motion formula of H.M. Taylor. Séminaire de Probabilités X, SLN511, Springer (1976). Zbl0368.60056MR461687
  10. [10] Williams, D.The Itô excursion law for Brownian motion. (unpublished-but see §II.67 of Williams' book 'Diffusions,Markov processes, and martingales' (Wiley, 1979).) 

Citations in EuDML Documents

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  1. Jacques Neveu, James W. Pitman, The branching process in a brownian excursion
  2. L. C. G. Rogers, Brownian local times and branching processes
  3. Richard F. Bass, L p inequalities for functionals of brownian motion
  4. David G. Hobson, The maximum maximum of a martingale
  5. Romain Abraham, Un arbre aléatoire infini associé à l'excursion brownienne
  6. Jean-François Le Gall, Une approche élémentaire des théorèmes de décomposition de Williams
  7. Marc Yor, Introduction au calcul stochastique
  8. Jean-Michel Bismut, The calculus of boundary processes

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