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Fluctuation Theory for Levy Processes : Ecole D'Eteþ de Probabiliteþs de Saint-Flour XXXV-2005.

Author: Ronald A Doney
Publisher: Heidelberg : Physica-Verlag Boulder : NetLibrary, Inc. [distributor]
Series: Lecture notes in mathematics (Springer-Verlag), 1897.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ronald A Doney
ISBN: 9783540485117 3540485112 9783540485100 3540485104
OCLC Number: 468438237
Description: 1 online resource.
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.
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