Fluctuation Theory for Lévy Processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / by Ronald A. Doney ; edited by Jean Picard.

Format:

Book

Author/Creator:

Doney, Ronald A., author.

Contributor:

Picard, Jean, editor.

SpringerLink (Online service)

Series:

École d'Été de Probabilités de Saint-Flour, 0721-5363 ; 1897.

École d'Été de Probabilités de Saint-Flour, 0721-5363 ; 1897

Language:

English

Subjects (All):

Distribution (Probability theory).

Probability Theory and Stochastic Processes.

Local Subjects:

Probability Theory and Stochastic Processes.

Physical Description:

1 online resource (IX, 155 pages).

Contained In:

Springer eBooks

Place of Publication:

Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.

System Details:

text file PDF

Summary:

Lévy processes, id est 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.

Contents:

to Lévy Processes

Subordinators

Local Times and Excursions

Ladder Processes and the Wiener-Hopf Factorisation

Further Wiener-Hopf Developments

Creeping and Related Questions

Spitzer's Condition

Lévy Processes Conditioned to Stay Positive

Spectrally Negative Lévy Processes

Small-Time Behaviour.

Other Format:

Printed edition:

ISBN:

9783540485117

Access Restriction:

Restricted for use by site license.