Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes. This book focuses on special classes of
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE b
This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorou
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE b
This collection of essays is based on lectures given at the "Academie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorou
This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excu
This book interlaces financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, with Brownian motion, diffusion
‘Peacocks’ and their associated mathematical phenomena, ‘martingales’, play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddin
