The dynamics of excursions of Brownian motion into a set with more than one boundary point , which no longer have the structure of a Poisson process, requires an extension of Ito’s excursion theory , due to B.Maisonneuve. In this talk we provide a `bare hands’ calculation of the relevant objects - local time, excursion measure - in the simple case of Brownian excursions into an interval (a,b), without using the Maisonneuve theory. We apply these computations to calculate the asymptotic distribution of excursions into an interval, straddling a fixed time t, as t goes to infinity.

- All seminars.
- Seminars for 2014

Last updated: 24 Apr 2019