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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kyprianou, Andreas E. (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Colección:Universitext,
Temas:
Mathematical analysis.
Probabilities.
Social sciences-Mathematics.
Analysis.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Lévy Processes and Applications
  • TheLévy-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 and Insurance Risk
  • Exit Problems for Spectrally Negative Processes
  • Applications to Optimal Stopping Problems
  • Continuous-State Branching Processes.

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