XV: 16, 227-250, LNM 850 (1981)
ROGERS, L.C.G.
Williams' characterization of the Brownian excursion law: proof and applications (
Brownian motion)
In the early eighties, Ito's rigorous approach to Lévy's ideas on excursions, aroused much enthusiasm, as people discovered it led to simple and conceptual proofs of most classical results on Brownian motion, and of many new ones. This paper contains the first published proof of the celebrated description of the Ito measure discovered by Williams (Williams
Diffusions, Markov Processes and Martingales, Wiley 1979, II.67), and it collects a number of applications, including the Azéma-Yor approach to Skorohod's imbedding theorem (
1306)
Keywords: Excursions,
Explicit laws,
Bessel processes,
Skorohod imbeddingNature: Original
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