Fluctuation Theory for Lévy Processes

Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

von Ronald A. Doney

155 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Lecture Notes in Mathematics
• ISBN: 9783540485100
• Sprache: Englisch
• Erscheinungsdatum: 19.04.2007
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Berlin
• Herausgegeben von: Jean Picard