ENGLISH

Introductory lectures on fluctuations of Levy processes with applications

By Andreas Kyprianou

Book information

Publisher
Springer
Year
2006
ISBN
3540313427, 9783540313427
Open Library ID
OL9056232M
Language
english
Format
PDF
Filesize
3 MB (2711126 bytes)
Series
Universitext
Edition
1
Pages
386\386
Library
kolxoz
Time added
2009-07-20 03:45:11

Description

L?vy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by their application in many areas of classical and modern stochastic models. This textbook forms the basis of a graduate course on the theory and applications of L?vy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of L?vy processes in terms of their local maxima and an understanding of their short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of L?vy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness. Each chapter has a comprehensive set of exercises with complete solutions.

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