Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005: 1897 (Lecture Notes in Mathematics, 1897) - Softcover

Doney, Ronald A.

Softcover

ISBN 10: 3540485104 ISBN 13: 9783540485100

Publisher: Springer, 2007

Synopsis

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 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.

About this title

From the Back Cover

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 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.

Edition details

• Publisher: Springer
• Publication date: 2007
• Language: English
• ISBN 10: 3540485104
• ISBN 13: 9783540485100
• Binding: Paperback
• Number of pages: 164
• Editor: Picard Jean