Fluctuations of Lévy Processes with Applications Introductory Lectures /
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 application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal...
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| Formato: | Recurso Electrónico livro electrónico |
| Idioma: | English |
| Publicado em: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2014.
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| Edição: | 2nd ed. 2014. |
| Colecção: | Universitext,
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| Assuntos: | |
| Acesso em linha: | https://doi.org/10.1007/978-3-642-37632-0 |
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Sumário:
- 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
- Exit Problems for Spectrally Negative Processes
- More on Scale Functions
- Ruin Problems and Gerber-Shiu Theory
- Applications to Optimal Stopping Problems
- Continuous-State Branching Processes
- Positive Self-similar Markov Processes
- Epilogue
- Hints for Exercises
- References
- Index.