Introductory lectures on fluctuations of Lévy processes with applications
Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by their application in many areas of classical and modern stochastic models including...
保存先:
| 第一著者: | |
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| フォーマット: | Livre numérique |
| 言語: | Anglais |
| 出版事項: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Springer e-books
[20..].
Cham : Springer Nature |
| シリーズ: | Universitext
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| 主題: | |
| オンライン･アクセス: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| 注記: |
Description d'après consultation du 7 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Introductory lectures on fluctuations of Lévy processes with applications, Andreas E. Kyprianou, Berlin, Springer, 2006, 1 vol. (XIII-373 p.), Universitext, 3-540-31342-7 |
| 要約: | Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by their application in many areas of classical and modern stochastic models including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance and continuous-state branching processes. This text book forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Lévy 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 Lévy 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 |
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| 記述事項: | Description d'après consultation du 7 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| 書誌: | Bibliographie p. [361]-373. Index |
| ISBN: | 9783540313434 |
| アクセス: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |