عنوان

Fluctuations of Levy processes with applications

شابک

9783642376313

کد کشور

IR

شماره

EN-52510

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

کشور محل نشر

IR

عنوان اصلي

Fluctuations of Levy processes with applications

نام عام مواد

[Book]

ساير اطلاعات عنواني

:introductory lectures

نام نخستين پديدآور

/ Andreas E. Kyprianou

وضعيت ويراست

2. ed..

محل نشرو پخش و غیره

Heidelberg

نام ناشر، پخش کننده و غيره

: Springer,

تاریخ نشرو بخش و غیره

, 2014.

عنوان فروست

(Universitext)

متن يادداشت

Electronic

متن يادداشت

Includes bibliographical references and index..

متن يادداشت

Summary: 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.

متن يادداشت

1.Levy Processes and Applications -- 2.The Levy -- Ito Decomposition and Path Structure -- 3.More Distributional and Path-Related Properties -- 4.General Storage Models and Paths of Bounded Variation -- 5.Subordinators at First Passage and Renewal Measures -- 6.The Wiener -- Hopf Factorisation -- 7.Levy Processes at First Passage -- 8.Exit Problems for Spectrally Negative Processes -- 9.More on Scale Functions -- 10.Ruin Problems and Gerber-Shiu Theory -- 11.Applications to Optimal Stopping Problems -- 12.Continuous-State Branching Processes -- 13.Positive Self-similar Markov Processes -- Epilogue -- Hints for Exercises.

عنوان

Universitext

موضوع مستند نشده

Levy processes

موضوع مستند نشده

Mathematics

موضوع مستند نشده

Finance

موضوع مستند نشده

Distribution (Probability theory)

شماره رده

مستند نام اشخاص تاييد نشده

Kyprianou, Andreas E

کشور

ایران

نام ميزبان

9783642376313.pdf

شماره دسترسي

عادی

اطلاعات مختصر

عادی

تاريخ و ساعت مذاکره و دسترسي

9783642376313.pdf

نوع فرمت الکترونيکي

متن

وضعیت فهرست نویسی

old catalog

فرمت انتشار

e

نوع ماده

BL

پیشوند ISBD اعمال شده است

1

سطح دسترسي

a

تكميل شده

Y