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Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

Author: Ronald A Doney; Jean Picard
Publisher: Berlin : Springer, 2007.
Series: Lecture notes in mathematics, Subseries: Ecole d'Eté des Probabilités de Saint-Flour., 1897.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Levy processes, that is, processes in continuous time with stationary and independent increments, form a flexible class of models, which have been applied to the study of storage processes, insurance  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Ronald A Doney; Jean Picard
ISBN: 3540485104 9783540485100
OCLC Number: 255827770
Notes: Literaturverz. S. [131] - 137.
Description: IX, 147 Seiten ; 235 x 155 mm.
Contents: to Levy Processes.- Subordinators.- Local Times and Excursions.- Ladder Processes and the Wiener-Hopf Factorisation.- Further Wiener-Hopf Developments.- Creeping and Related Questions.- Spitzer's Condition.- Levy Processes Conditioned to Stay Positive.- Spectrally Negative Levy Processes.- Small-Time Behaviour.
Series Title: Lecture notes in mathematics, Subseries: Ecole d'Eté des Probabilités de Saint-Flour., 1897.
Responsibility: Ronald A. Doney. Ed.: Jean Picard.
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