Doney, R: Fluctuation Theory for Lévy Processes
(Sprache: Englisch)
Lévy processes, that is, processes in continuous time with stationary and independent increments, 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...
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Klappentext zu „Doney, R: Fluctuation Theory for Lévy Processes “
Lévy processes, that is, processes in continuous time with stationary and independent increments, 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 they include particularly important examples having "heavy tails." Their sample path behaviour poses a variety of challenging and fascinating problems, which are addressed in detail.
Inhaltsverzeichnis zu „Doney, R: Fluctuation Theory for Lévy Processes “
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.
Bibliographische Angaben
- Autor: Ronald A. Doney
- 2007, X, 152 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Herausgegeben: Jean Picard
- Verlag: Springer Berlin
- ISBN-10: 3540485104
- ISBN-13: 9783540485100
- Erscheinungsdatum: 19.04.2007
Sprache:
Englisch
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