ENGLISH

Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

By Jean Picard (editor) , Ronald A. Doney

Book information

Publisher
Springer
Year
2007
ISBN
3540485104, 9783540485100, 9783540485117
DOI
10.1007/978-3-540-48511-7
ISSN
0075-8434
Open Library ID
OL12775504M
Language
english
Format
PDF
Filesize
1 MB (1276654 bytes)
Series
Lecture Notes in Mathematics 1897
Edition
1
Pages
155\153
Library
Kolxo3
Time added
2009-07-20 03:45:11
Probability Theory and Stochastic Processes

Description

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 storage processes, insurance risk, queues, turbulence, laser cooling, ... and of course finance, where the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.

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