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Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 (Lecture Notes in Mathematics / École d'Été de ... Notes in Mathematics, 1897, Band 1897) - Softcover

Doney, Ronald A.

 
9783540485100: Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 (Lecture Notes in Mathematics / École d'Été de ... Notes in Mathematics, 1897, Band 1897)
Softcover
ISBN 10: 3540485104 ISBN 13: 9783540485100
Verlag: Springer, 2007

Inhaltsangabe

Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They 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 the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.

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Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They 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 the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.

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Verlag
Springer
Erscheinungsdatum
2007
Sprache
Englisch
ISBN 10 
3540485104
ISBN 13 
9783540485100
Einband
Taschenbuch
Anzahl der Seiten
164
Herausgeber
Picard Jean
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