Fluctuations of Lévy processes with applications: introductory lectures
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Heidelberg [u.a.]
Springer
2014
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Ausgabe: | 2. ed. |
Schriftenreihe: | Universitext
|
Schlagworte: | |
Online-Zugang: | BTU01 FRO01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
Beschreibung: | 1. Aufl. u.d.T.: Kyprianou, Andreas E.: Introductory lectures on fluctuations of Lévy processes with applications |
Beschreibung: | 1 Online-Ressource (XVIII, 455 S.) |
ISBN: | 9783642376320 |
DOI: | 10.1007/978-3-642-37632-0 |
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Datensatz im Suchindex
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adam_text | FLUCTUATIONS OF LEVY PROCESSES WITH APPLICATIONS
/ KYPRIANOU, ANDREAS E.
: 2014
TABLE OF CONTENTS / INHALTSVERZEICHNIS
LEVY PROCESSES AND APPLICATIONS
THE LEVY–ITO DECOMPOSITION AND PATH STRUCTURE
MORE DISTRIBUTIONAL AND PATH-RELATED PROPERTIES
GENERAL STORAGE MODELS AND PATHS OF BOUNDED VARIATION
SUBORDINATORS AT FIRST PASSAGE AND RENEWAL MEASURES
THE WIENER–HOPF FACTORISATION
LEVY PROCESSES AT FIRST PASSAGE
EXIT PROBLEMS FOR SPECTRALLY NEGATIVE PROCESSES
MORE ON SCALE FUNCTIONS
RUIN PROBLEMS AND GERBER-SHIU THEORY
APPLICATIONS TO OPTIMAL STOPPING PROBLEMS
CONTINUOUS-STATE BRANCHING PROCESSES
POSITIVE SELF-SIMILAR MARKOV PROCESSES
EPILOGUE
HINTS FOR EXERCISES
REFERENCES
INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
FLUCTUATIONS OF LEVY PROCESSES WITH APPLICATIONS
/ KYPRIANOU, ANDREAS E.
: 2014
ABSTRACT / INHALTSTEXT
LEVY 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 APPLICATION APPEARS IN THE THEORY OF
MANY AREAS OF CLASSICAL AND MODERN STOCHASTIC PROCESSES INCLUDING
STORAGE MODELS, RENEWAL PROCESSES, INSURANCE RISK MODELS, OPTIMAL
STOPPING PROBLEMS, MATHEMATICAL FINANCE, CONTINUOUS-STATE BRANCHING
PROCESSES AND POSITIVE SELF-SIMILAR MARKOV PROCESSES. THIS TEXTBOOK IS
BASED ON A SERIES OF GRADUATE COURSES CONCERNING THE THEORY AND
APPLICATION OF LEVY PROCESSES FROM THE PERSPECTIVE OF THEIR PATH
FLUCTUATIONS. CENTRAL TO THE PRESENTATION IS THE DECOMPOSITION OF PATHS
IN TERMS OF EXCURSIONS FROM THE RUNNING MAXIMUM AS WELL AS AN
UNDERSTANDING OF 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 LEVY PROCESSES WITH JUMPS IN ONLY ONE DIRECTION, FOR WHICH
RECENT THEORETICAL ADVANCES HAVE YIELDED A HIGHER DEGREE OF MATHEMATICAL
TRACTABILITY. THE SECOND EDITION ADDITIONALLY ADDRESSES RECENT
DEVELOPMENTS IN THE POTENTIAL ANALYSIS OF SUBORDINATORS, WIENER-HOPF
THEORY, THE THEORY OF SCALE FUNCTIONS AND THEIR APPLICATION TO RUIN
THEORY, AS WELL AS INCLUDING AN EXTENSIVE OVERVIEW OF THE CLASSICAL AND
MODERN THEORY OF POSITIVE SELF-SIMILAR MARKOV PROCESSES. EACH CHAPTER
HAS A COMPREHENSIVE SET OF EXERCISES. ANDREAS KYPRIANOU HAS A DEGREE IN
MATHEMATICS FROM THE UNIVERSITY OF OXFORD AND A PH.D. IN PROBABILITY
THEORY FROM THE UNIVERSITY OF SHEFFIELD.HE IS CURRENTLY A PROFESSOR OF
PROBABILITY AT THE UNIVERSITY OF BATH, HAVING HELD ACADEMIC POSITIONS IN
MATHEMATICS AND STATISTICS DEPARTMENTS AT THE LONDON SCHOOL OF
ECONOMICS, EDINBURGH UNIVERSITY, UTRECHT UNIVERSITY AND HERIOT-WATT
UNIVERSITY, BESIDES WORKING FOR NEARLY TWO YEARS AS A RESEARCH
MATHEMATICIAN IN THE OIL INDUSTRY. HIS RESEARCH IS FOCUSED ON PURE AND
APPLIED PROBABILITY
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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author | Kyprianou, Andreas E. |
author_GND | (DE-588)1048058662 |
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discipline | Mathematik |
doi_str_mv | 10.1007/978-3-642-37632-0 |
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spelling | Kyprianou, Andreas E. Verfasser (DE-588)1048058662 aut Fluctuations of Lévy processes with applications introductory lectures Andreas E. Kyprianou 2. ed. Heidelberg [u.a.] Springer 2014 1 Online-Ressource (XVIII, 455 S.) txt rdacontent c rdamedia cr rdacarrier Universitext 1. Aufl. u.d.T.: Kyprianou, Andreas E.: Introductory lectures on fluctuations of Lévy processes with applications Lévy processes Stochastic processes Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Fluktuation (DE-588)4348165-6 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 s Fluktuation (DE-588)4348165-6 s DE-604 Erscheint auch als Druck-Ausgabe, Paperback 978-3-642-37631-3 https://doi.org/10.1007/978-3-642-37632-0 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027195996&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027195996&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
spellingShingle | Kyprianou, Andreas E. Fluctuations of Lévy processes with applications introductory lectures Lévy processes Stochastic processes Lévy-Prozess (DE-588)4463623-4 gnd Fluktuation (DE-588)4348165-6 gnd |
subject_GND | (DE-588)4463623-4 (DE-588)4348165-6 |
title | Fluctuations of Lévy processes with applications introductory lectures |
title_auth | Fluctuations of Lévy processes with applications introductory lectures |
title_exact_search | Fluctuations of Lévy processes with applications introductory lectures |
title_full | Fluctuations of Lévy processes with applications introductory lectures Andreas E. Kyprianou |
title_fullStr | Fluctuations of Lévy processes with applications introductory lectures Andreas E. Kyprianou |
title_full_unstemmed | Fluctuations of Lévy processes with applications introductory lectures Andreas E. Kyprianou |
title_short | Fluctuations of Lévy processes with applications |
title_sort | fluctuations of levy processes with applications introductory lectures |
title_sub | introductory lectures |
topic | Lévy processes Stochastic processes Lévy-Prozess (DE-588)4463623-4 gnd Fluktuation (DE-588)4348165-6 gnd |
topic_facet | Lévy processes Stochastic processes Lévy-Prozess Fluktuation |
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