ENGLISH

Lévy Matters I: Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance

By Jean Bertoin , Jean Jacod , Ken-iti Sato , Thomas Duquesne , Oleg Reichmann , Christoph Schwab (auth.) , Ole E Barndorff-Nielsen , Claudia Klüppelberg (eds.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2010
ISBN
978-3-642-14006-8, 978-3-642-14007-5
DOI
10.1007/978-3-642-14007-5
Language
english
Format
PDF
Filesize
2 MB (2447189 bytes)
Series
Lecture Notes in Mathematics 2001
Edition
1
Pages
206\215
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Probability Theory and Stochastic Processes

Description

This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area of Lévy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets.

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