Fluctuations of Lévy Processes with Applications

Fluctuations of Lévy Processes with Applications

Produs indisponibil momentan. Pentru comenzi va rugam trimiteti mail la adresa depozit2@prior.ro sau contactati-ne la numarul de telefon 021 210 89 28 Vedeti mai jos alte produse similare disponibile.

Completati formularul de mai jos pentru a fi anuntat cand acest produs revine pe stoc.

Numele tau:
Email:
Cod produs/ISBN: 9783642376313

Disponibilitate: Acest produs nu este momentan in stoc

Editura: Springer

Limba: Engleza

Nr. pagini: 476

Coperta: Paperback

Dimensiuni: 15.6 x 2.7 x 23.5 cm

An aparitie: 2014

Lévy 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 Lévy 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 Lévy 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.


Springer
An aparitie 2014
Autor Andreas E. Kyprianou
Dimensiuni 15.6 x 2.7 x 23.5 cm
Editura Springer
Format Paperback
ISBN 9783642376313
Limba Engleza
Nr pag 476

Clientii ebookshop.ro nu au adaugat inca opinii pentru acest produs. Fii primul care adauga o parere, folosind formularul de mai jos.

Spune-ne parerea ta despre acest produs

Nota acordata produsului:

Notificare prin e-mail cand apar comentarii noi
Scroll