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Fluctuation Theory for Levy Processes : Ecole d'Et♭̧ de Probabilit♭̧s de Saint-Flour XXXV - 2005

Author: Ronald A Doney; Jean Picard
Publisher: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2007.
Series: Lecture notes in mathematics (Springer-Verlag), 1897.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Publication:Springer e-books
Database:WorldCat
Summary:

Levy processes are named after Paul Levy, who made the connection with infinitely divisible distributions and described their structure. Their sample path behaviour poses a variety of difficult and  Read more...

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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ronald A Doney; Jean Picard
ISBN: 9783540485100 3540485104
OCLC Number: 401466536
Description: 1 online resource (v.: digital).
Contents: 1. Introduction to Levy processes.- 2. Subordinators.- 3. Local times and excursions.- 4. Ladder processes and the Wiener-Hopf factorisation.- 5. Further Wiener-Hopf developments.- 6. Creeping and related questions.- 7. Spitzer's Condition.- 8. Levy processes conditioned to stay positive.- 9. Spectrally negative L'evy processes.- 10. Small-time behaviour.- References.- Index.
Series Title: Lecture notes in mathematics (Springer-Verlag), 1897.
Responsibility: by Ronald A. Doney ; edited by Jean Picard.
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