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Kniha Levy Matters V Lars Norvang Andersen

Levy Matters V

Functionals of Levy Processes

Autor: Lars Norvang Andersen, Soren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgard, Simon Thomas
Jazyk: Angličtina
Vazba: Brožovaná
Vydavatel: Springer International Publishing AG
Dostupnost: Skladem u dodavatele
Odesíláme za 5-8 dnů
1 032 Kč
This three-chapter volume concerns the distributions of certain functionals of Lévy processes. The f...

Informace o knize

Autor
Lars Norvang Andersen, Soren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgard, Simon Thomas
Jazyk
Angličtina
Vazba
Kniha - Brožovaná
Vydáno
2015
Stránek
224
EAN
9783319231372
ISBN
3319231375
Enbook ID
09480192
Vydavatel
Springer International Publishing AG
Hmotnost
3752
Rozměry
155 x 235 x 14

Kompletní popis

This three-chapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Lévy processes via stochastic integration. The second chapter, by Lars Nřrvang Andersen, Sřren Asmussen, Peter W. Glynn and Mats Pihlsgĺrd, concerns Lévy processes reflected at two barriers, where reflection is formulated ŕ la Skorokhod. These processes can be used to model systems with a finite capacity, which is crucial in many real life situations, a most important quantity being the overflow or the loss occurring at the upper barrier. If a process is killed when crossing the boundary, a natural question concerns its lifetime. Deep formulas from fluctuation theory are the key to many classical results, which are reviewed in the third chapter by Frank Aurzada and Thomas Simon. The main part, however, discusses recent advances and developments in the setting where the process is given either by the partial sum of a random walk or the integral of a Lévy process.

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