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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 stor...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2007.
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| Edición: | 1st ed. 2007. |
| Colección: | École d'Été de Probabilités de Saint-Flour ;
1897 |
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| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.