Buch, Englisch, 155 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 260 g
Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005
Buch, Englisch, 155 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 260 g
Reihe: École d'Été de Probabilités de Saint-Flour
ISBN: 978-3-540-48510-0
Verlag: Springer Berlin Heidelberg
Lévy 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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
to Lévy Processes.- Subordinators.- Local Times and Excursions.- Ladder Processes and the Wiener–Hopf Factorisation.- Further Wiener–Hopf Developments.- Creeping and Related Questions.- Spitzer's Condition.- Lévy Processes Conditioned to Stay Positive.- Spectrally Negative Lévy Processes.- Small-Time Behaviour.
