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This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brown
Handbook of Brownian Motion - Facts and Formulae
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Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book se
Aspects of Brownian Motion
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Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes.
Brownian Motion and Stochastic Calculus
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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in
Diffusion Processes and their Sample Paths
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Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research