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" Introductory lectures on fluctuations of Levy processes with applications / "
Andreas E. Kyprianou.
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BL
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| Record Number
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1022661
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b777031
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| Main Entry
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Kyprianou, Andreas E.
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| Title & Author
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Introductory lectures on fluctuations of Levy processes with applications /\ Andreas E. Kyprianou.
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| Publication Statement
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Berlin :: Springer,, 2006.
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| Series Statement
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Universitext
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| Page. NO
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1 online resource (xiii, 373 pages)
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| ISBN
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3540313427
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: 3540313435
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: 9783540313427
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: 9783540313434
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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Lévy processes and applications -- The Lévy-Itô decomposition and path structure -- More distributional and path-related properties -- General storage models and paths of bounded variation -- Subordinators at first passage and renewal measures -- The Wiener-Hopf factorisation -- Lévy processes at first passage and insurance risk -- Exit problems for spectrally negative processes -- Applications to optimal stopping problems -- Continuous-state branching processes.
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| Abstract
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"This text book forms the basis of a graduate course on the theory and applications of Levy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Levy processes in terms of their local maxima and an understanding of their short- and long-term behaviour." "The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Levy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness." "Each chapter has a comprehensive set of exercises with complete solutions."--Jacket.
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| Subject
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Lévy processes.
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Stochastic processes.
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Lévy, Processus de.
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Processus stochastiques.
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Lévy processes.
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Stochastic processes.
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Lévy processes.
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Lévy, Processus de.
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Processus stochastiques.
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Stochastic processes.
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Stochastische modellen.
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Stochastische modellen.
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| Dewey Classification
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519.2/3
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| LC Classification
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QA274.73.K97 2006eb
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| NLM classification
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31.70bcl
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O211. 6clc
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