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

Author: Ronald A Doney
Publisher: Berlin ; New York : Springer-Verlag, ©2007.
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
Additional Physical Format: Print version:
Doney, Ronald A.
Fluctuation theory for Levy processes.
Berlin ; New York : Springer-Verlag, ©2007
(DLC) 2007921692
(OCoLC)128282513
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ronald A Doney
ISBN: 9783540485117 3540485112 3540485104 9783540485100
OCLC Number: 185026884
Description: 1 online resource (ix, 147 pages).
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.
Other Titles: Ecole d'Eté de Probabilités de Saint-Flour XXXV-2005
Responsibility: Ronald A. Doney ; editor, Jean Picard.
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