Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 1897)
Part of the book sub series: École d'Été de Probabilités de Saint-Flour (LNMECOLE)
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Table of contents (10 chapters)
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Front Matter
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Back Matter
Keywords
About this book
Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They form a flexible class of models, which have been applied to the study of storage processes, insurance risk, queues, turbulence, laser cooling, ... and of course finance, where the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.
Authors, Editors and Affiliations
Bibliographic Information
Book Title: Fluctuation Theory for Lévy Processes
Book Subtitle: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005
Authors: Ronald A. Doney
Editors: Jean Picard
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/978-3-540-48511-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2007
Softcover ISBN: 978-3-540-48510-0Published: 19 April 2007
eBook ISBN: 978-3-540-48511-7Published: 25 April 2007
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: IX, 155
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