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Fluctuation Theory for Lévy Processes

Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

Language EnglishEnglish
Book Paperback
Book Fluctuation Theory for Lévy Processes Ronald A. Doney
Libristo code: 05274063
Publishers Springer, Berlin, November 2006
Lévy processes, that is, processes in continuous time with stationary and independent increments, fo... Full description
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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.

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About the book

Full name Fluctuation Theory for Lévy Processes
Author Ronald A. Doney
Language English
Binding Book - Paperback
Date of issue 2007
Number of pages 155
EAN 9783540485100
ISBN 3540485104
Libristo code 05274063
Publishers Springer, Berlin
Weight 254
Dimensions 158 x 232 x 10

Categories

Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
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