Fluctuation theory for Lévy processes : Ecole d'été de probabilités de Saint-Flour XXXV-2005 / Ronald A. Doney ; ed. Jean Picard
Type de document : CongrèsCollection : Lecture notes in mathematics, 1897Langue : anglais.Pays: Allemagne.Éditeur : Berlin : Springer, 2007Description : 1 vol. (IX-147 p.) ; 24 cmISBN: 9783540485100.ISSN: 0075-8434.Note de contenu: 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. (Source : 4ème de couverture) Bibliographie : Bibliogr. p. 133-137. Index.Sujet MSC : 60G51, Probability theory and stochastic processes, Processes with independent increments; Lévy processes60G50, Probability theory and stochastic processes, Sums of independent random variables; random walks
60G55, Probability theory and stochastic processes, Point processes (e.g., Poisson, Cox, Hawkes processes)
60J55, Probability theory and stochastic processes - Markov processes, Local time and additive functionals
60K15, Probability theory and stochastic processes - Special processes, Markov renewal processes, semi-Markov processesEn-ligne : Springerlink
| Item type | Current library | Call number | Status | Date due | Barcode |
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Congrès
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CMI Salle 1 | Ecole STF (Browse shelf(Opens below)) | Available | 07886-01 |
Bibliogr. p. 133-137. Index
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. (Source : 4ème de couverture)
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