INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9783642376313
NATIONAL BIBLIOGRAPHY NUMBER
Country Code
IR
Number
EN-52510
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
COUNTRY OF PUBLICATION OR PRODUCTlON
Country of publication
IR
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Fluctuations of Levy processes with applications
General Material Designation
[Book]
Other Title Information
:introductory lectures
First Statement of Responsibility
/ Andreas E. Kyprianou
EDITION STATEMENT
Edition Statement
2. ed..
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Heidelberg
Name of Publisher, Distributor, etc.
: Springer,
Date of Publication, Distribution, etc.
, 2014.
SERIES
Series Title
(Universitext)
NOTES PERTAINING TO PUBLICATION, DISTRIBUTION, ETC.
Text of Note
Electronic
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index..
CONTENTS NOTE
Text of Note
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.
Text of Note
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.
SERIES
Title
Universitext
TOPICAL NAME USED AS SUBJECT
Levy processes
Mathematics
Finance
Distribution (Probability theory)
LIBRARY OF CONGRESS CLASSIFICATION
Class number
E-BOOK
PERSONAL NAME - SECONDARY RESPONSIBILITY
Kyprianou, Andreas E
ORIGINATING SOURCE
Country
ایران
ELECTRONIC LOCATION AND ACCESS
Host name
9783642376313.pdf
Access number
عادی
Compression information
عادی
Date and Hour of Consultation and Access
9783642376313.pdf
Electronic Format Type
متن
old catalog
e
BL
1
a
Y
