| Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 2007 Edition Contributor(s): Doney, Ronald A. (Author), Picard, Jean (Editor) |
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ISBN: 3540485104 ISBN-13: 9783540485100 Publisher: Springer OUR PRICE: $47.45 Product Type: Paperback Published: April 2007 Annotation: L?vy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul L?vy, 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519 |
| Series: Lecture Notes in Mathematics |
| Physical Information: 0.39" H x 9.3" W x 6.57" (0.56 lbs) 155 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: L vy 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. |
