ENGLISH

Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions

By Serge Cohen , Alexey Kuznetsov , Andreas E. Kyprianou , Victor Rivero (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2013
ISBN
978-3-642-31406-3, 978-3-642-31407-0
DOI
10.1007/978-3-642-31407-0
Language
english
Format
PDF
Filesize
2 MB (1799505 bytes)
Series
Lecture Notes in Mathematics 2061
Edition
1
Pages
186\199
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
general; Probability Theory and Stochastic ProcessMathematics

Description

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.

Similar books