Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

Fluctuation theory for Lévy processes Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

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 storag...

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Detalles Bibliográficos
Autor Corporativo: Ecole d'été de probabilités de Saint-Flour (-)
Otros Autores: Picard, Jean, 1959- editor (editor), Doney, Ronald A., editor
Formato: Libro electrónico
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer-Verlag [2007]
Edición:1st ed. 2007.
Colección:École d'Été de Probabilités de Saint-Flour, 1897
Materias:
Lévy processes.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009460782606719
Tabla de Contenidos:
  • 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.

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