rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Introductory Lectures on Fluctuations of Lévy Processes with Applications
  name:
    name part: Kyprianou, Andreas E.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2006
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIII, 378 p. 22 illus. online resource.
  abstract: Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by their application in many areas of classical and modern stochastic models including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance and continuous-state branching processes. This text book forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Lévy processes in terms of their local maxima and an understanding of their short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness. Each chapter has a comprehensive set of exercises with complete solutions.
  table of contents: Lévy Processes and Applications -- TheLévy–Itô Decomposition and Path Structure -- More Distributional and Path-Related Properties -- General Storage Models and Paths of Bounded Variation -- Subordinators at First Passage and Renewal Measures -- The Wiener–Hopf Factorisation -- Lévy Processes at First Passage and Insurance Risk -- Exit Problems for Spectrally Negative Processes -- Applications to Optimal Stopping Problems -- Continuous-State Branching Processes.
  note: by Andreas E. Kyprianou.
  subject:
    topic: Mathematics
  subject:
    topic: Mathematical analysis
  subject:
    topic: Analysis (Mathematics)
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Analysis
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Quantitative Finance
  classification: QA299.6-433
  classification: 515
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783540313434
  identifier: http://dx.doi.org/10.1007/978-3-540-31343-4
  record info:
    record creation date: 100301
    record change date: 20151204153839.0
    record identifier: 978-3-540-31343-4