L�vy Matters II: Recent Progress in Theory and Applications: Fractional L�vy Fields, and Scale Functions (Lecture Notes in Mathematics)

Serge Cohen, Alexey Kuznetsov, Andreas E. Kyprianou, Victor Rivero

ISBN 10: 3642314066 / ISBN 13: 9783642314063

Published by Springer 2012-09-11, 2012

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Seller Inventory # 6666-IUK-9783642314063

Bibliographic Details

• Title: L�vy Matters II: Recent Progress in Theory and Applications: Fractional L�vy Fields, and Scale Functions (Lecture Notes in Mathematics)
• Publisher: Springer 2012-09-11
• Publication Date: 2012
• Language: English
• ISBN 10: 3642314066
• ISBN 13: 9783642314063
• Binding: Paperback
• Condition: New

About this title

Synopsis

This is the second volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters, which is published at irregular intervals over the years. Each volume examines a number of key topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world.

The expository articles in this second volume cover two important topics in the area of Lévy processes.
The first article by Serge Cohen reviews the most
important findings on fractional Lévy fields to date in a self-contained piece, offering a theoretical introduction as well as possible applications and simulation techniques.
The second article, by Alexey Kuznetsov, Andreas E. Kyprianou, and Victor Rivero, presents an up to date account of the theory and application of scale functions for spectrally negative Lévy processes, including an extensive numerical overview.