Fluctuation Theory for Lévy Processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005
Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, 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 storag...
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| Format: | Livre numérique |
| Langue: | Anglais |
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Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Édition: | 1st ed. 2007. |
| Collection: | Ecole d'Eté de Probabilités de Saint-Flour
35 |
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| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
L'impression du document génère 156 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Fluctuation theory for Lévy processes, École d'été de probabilités de Saint-Flour XXXV - 2005, Ronald A. Doney, Berlin, Springer, 2007, 1 vol. (IX-147 p.), Lecture Notes in Mathematics, 978-3-540-48510-0 |
| Résumé: | Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, 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 |
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| Description: | L'impression du document génère 156 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliographie: | Bibliogr. Index |
| ISBN: | 9783540485117 |
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