عنوان
پدید آورنده
موضوع
رده
QA274.73 .K97 2006eb
QA274
.
73
.
K97
2006eb
کتابخانه
محل استقرار
3540313427
3540313435
9783540313427
9783540313434
b777031
Introductory lectures on fluctuations of Levy processes with applications /
[Book]
Andreas E. Kyprianou.
Berlin :
Springer,
2006.
1 online resource (xiii, 373 pages)
Universitext
Includes bibliographical references and index.
Lévy processes and applications -- The Lévy-Itô 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 -- Lévy processes at first passage and insurance risk -- Exit problems for spectrally negative processes -- Applications to optimal stopping problems -- Continuous-state branching processes.
0
"This text book forms the basis of a graduate course on the theory and applications of Levy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Levy processes in terms of their local maxima and an understanding of their 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 transparency and explicitness." "Each chapter has a comprehensive set of exercises with complete solutions."--Jacket.
Springer
978-3-540-31342-7
Introductory lectures on fluctuations of Levy processes with applications.
9783540313427
Springer e-books
Lévy processes.
Stochastic processes.
Lévy, Processus de.
Processus stochastiques.
Lévy processes.
Lévy processes.
Lévy, Processus de.
Processus stochastiques.
Stochastic processes.
Stochastic processes.
Stochastische modellen.
Stochastische modellen.
MAT034000
PBK
QA
519
.
2/3
22
QA274
.
73
.
K97
2006eb
31
.
70
O211
.
6
bcl
clc
Kyprianou, Andreas E.
20201203100941.0
pn
مطالعه متن کتاب [Book]
Y
