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Lévy Matters I

Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance

  • Thomas Duquesne
  • Oleg Reichmann
  • Ken-iti Sato
  • Christoph Schwab
  • Ole E Barndorff-Nielsen
  • Jean Bertoin
  • Jean Jacod
  • Claudia Klüppelberg

Part of the Lecture Notes in Mathematics book series (LNM, volume 2001)

Also part of the Lévy Matters book sub series (LEVY, volume 2001)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Thomas Duquesne
    Pages 93-136
  3. Back Matter
    Pages 197-204

About this book

Introduction

This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area of Lévy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets.

Keywords

Feller process Feller processes Lévy process distribution stochastic analysis trees

Authors and affiliations

  • Thomas Duquesne
    • 1
  • Oleg Reichmann
    • 2
  • Ken-iti Sato
    • 3
  • Christoph Schwab
    • 4
  1. 1.Lab de Probabilités & Modèles AléatoiresUniv Paris 6 - Pierre et Marie CurieParis Cedex 05France
  2. 2.Seminar für Angewandte MathematikETH ZürichZürichSwitzerland
  3. 3.Tenpaku-Ku, NagoyaJapan
  4. 4.Seminar für Angewandte MathematikETH ZürichZürichSwitzerland

Editors and affiliations

  • Ole E Barndorff-Nielsen
    • 1
  • Jean Bertoin
    • 2
  • Jean Jacod
    • 3
  • Claudia Klüppelberg
    • 4
  1. 1.Thiele Centre, Department of MathematicsAarhus UniversityAarhus CDenmark
  2. 2., Lab de Probabilités & Modèles AléatoiresUniv Paris 6 - Pierre et Marie CurieParis Cedex 05France
  3. 3.Pierre et Marie Curie, Institut de Mathématiques de JussieuUniversité Paris VI -Paris, Cedex 05France
  4. 4.Center for Mathematical SciencesMunich University of TechnologyGarchingGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-14007-5
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-14006-8
  • Online ISBN 978-3-642-14007-5
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site
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