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, renewa...

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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, 2014.
Edición:2nd ed. 2014.
Colección:Universitext,
Temas:
Probabilities.
Social sciences-Mathematics.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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