Lévy Processes: Theory and Applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston, MA
Birkhäuser Boston
2001
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes |
| Beschreibung: | 1 Online-Ressource (XI, 418 p) |
| ISBN: | 9781461201977 9781461266570 |
| DOI: | 10.1007/978-1-4612-0197-7 |
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| 500 | |a A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes | ||
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| 650 | 4 | |a Distribution (Probability theory) | |
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Datensatz im Suchindex
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| author | Barndorff-Nielsen, Ole E. |
| author_facet | Barndorff-Nielsen, Ole E. |
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4612-0197-7 |
| format | Electronic eBook |
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| indexdate | 2024-07-10T01:21:04Z |
| institution | BVB |
| isbn | 9781461201977 9781461266570 |
| language | English |
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| spelling | Barndorff-Nielsen, Ole E. Verfasser aut Lévy Processes Theory and Applications edited by Ole E. Barndorff-Nielsen, Sidney I. Resnick, Thomas Mikosch Boston, MA Birkhäuser Boston 2001 1 Online-Ressource (XI, 418 p) txt rdacontent c rdamedia cr rdacarrier A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Applications of Mathematics Operations Research, Management Science Mathematik Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 s 1\p DE-604 Resnick, Sidney I. Sonstige oth Mikosch, Thomas Sonstige oth https://doi.org/10.1007/978-1-4612-0197-7 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Barndorff-Nielsen, Ole E. Lévy Processes Theory and Applications Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Applications of Mathematics Operations Research, Management Science Mathematik Lévy-Prozess (DE-588)4463623-4 gnd |
| subject_GND | (DE-588)4463623-4 |
| title | Lévy Processes Theory and Applications |
| title_auth | Lévy Processes Theory and Applications |
| title_exact_search | Lévy Processes Theory and Applications |
| title_full | Lévy Processes Theory and Applications edited by Ole E. Barndorff-Nielsen, Sidney I. Resnick, Thomas Mikosch |
| title_fullStr | Lévy Processes Theory and Applications edited by Ole E. Barndorff-Nielsen, Sidney I. Resnick, Thomas Mikosch |
| title_full_unstemmed | Lévy Processes Theory and Applications edited by Ole E. Barndorff-Nielsen, Sidney I. Resnick, Thomas Mikosch |
| title_short | Lévy Processes |
| title_sort | levy processes theory and applications |
| title_sub | Theory and Applications |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Applications of Mathematics Operations Research, Management Science Mathematik Lévy-Prozess (DE-588)4463623-4 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Applications of Mathematics Operations Research, Management Science Mathematik Lévy-Prozess |
| url | https://doi.org/10.1007/978-1-4612-0197-7 |
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