| Lévy Processes: Theory and Applications 2001 Edition Contributor(s): Barndorff-Nielsen, Ole E. (Editor), Mikosch, Thomas (Editor), Resnick, Sidney I. (Editor) |
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ISBN: 081764167X ISBN-13: 9780817641672 Publisher: Birkhauser OUR PRICE: $189.99 Product Type: Hardcover - Other Formats Published: March 2001 Annotation: A L??vy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. The need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general L??vy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of L??vy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. It collects articles written by leading experts that will appeal to the non-specialist. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for future research. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of L??vy processes. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied - Business & Economics | Operations Research |
| Dewey: 519 |
| LCCN: 00068064 |
| Physical Information: 1.04" H x 7.27" W x 10.25" (2.07 lbs) 418 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: A L vy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. The need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general L vy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of L vy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. It collects articles written by leading experts that will appeal to the non-specialist. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for future research. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of L vy processes. |