Fluctuations of Lévy Processes with Applications Introductory Lectures /

• Main Author: Kyprianou, Andreas E. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2014.
• Edition: 2nd ed. 2014.
• Series: Universitext,
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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 application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal...