Fluctuation theory for Lévy processes
Author(s)
Bibliographic Information
Fluctuation theory for Lévy processes
（Lecture notes in mathematics, 1897 . École d'été de probabilités de Saint-Flour / editor,
Springer, c2007
- Other Title
-
Fluctuation theory for Lévy processes, St. Flour 2005
Available at / 62 libraries
-
Library, Research Institute for Mathematical Sciences, Kyoto University数研
L/N||LNM||1897200001576950
-
No Libraries matched.
- Remove all filters.
Note
Includes bibliographical references (p. [133]-137) and index
http://dx.doi.org/10.1007/978-3-540-48511-7
Description and Table of Contents
Description
Levy processes, that is, processes in continuous time with stationary and independent increments, form a flexible class of models, which have been applied to the study of storage processes, insurance risk, queues, turbulence, laser cooling, and of course finance, where they include particularly important examples having "heavy tails." Their sample path behaviour poses a variety of challenging and fascinating problems, which are addressed in detail.
Table of Contents
to Levy Processes.- Subordinators.- Local Times and Excursions.- Ladder Processes and the Wiener-Hopf Factorisation.- Further Wiener-Hopf Developments.- Creeping and Related Questions.- Spitzer's Condition.- Levy Processes Conditioned to Stay Positive.- Spectrally Negative Levy Processes.- Small-Time Behaviour.
by "Nielsen BookData"