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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Kyprianou, Andreas E. (Auteur)
Collectivité auteur: SpringerLink (Online service)
Format: Électronique eBook
Langue:Inglés
Publié: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2014.
Édition:2nd ed. 2014.
Collection:Universitext,
Sujets:
Probabilities.
Social sciences-Mathematics.
Probability Theory.
Mathematics in Business, Economics and Finance.
Accès en ligne:Texto Completo
Table des matières:
  • 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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