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Introductory lectures on fluctuations of Lévy processes with applications

Author: Andreas E Kyprianou
Publisher: Berlin : Springer, cop. 2006.
Series: Universitext
Edition/Format:   Print book : EnglishView all editions and formats

A textbook that forms the basis of a graduate course on the theory and applications of Levy processes, from the perspective of their path fluctuations. It intends to be mathematically rigorous while  Read more...


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Document Type: Book
All Authors / Contributors: Andreas E Kyprianou
ISBN: 3540313427 9783540313427
OCLC Number: 470975966
Notes: Bibliogr. p. 361-370.
Description: 1 vol. (XIII-373 p.) : ill. ; 24 cm.
Contents: Levy processes and applications.- The Levy-Ito decomposition and path structure.- More distributional and path related properties.- Subordinators at first passage and renewal measures.- General storage models and paths of bounded variation.- The Wiener-Hopf factorisation.- Levy processes at first passage and insurance risk.- Exit problems for spectrally negative processes.- Applications to optimal stopping problems. Continuous state branching processes and other applications.
Series Title: Universitext
Responsibility: Andreas E. Kyprianou.
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From the reviews: "This textbook is an introduction to fine path-properties of real Levy processes with a view towards applications. ... it is written in a more pedagogical tone, with many exercises Read more...

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