Lévy Matters V: Functionals of Lévy Processes (1st ed. 2015) (Lecture Notes in Mathematics #2149)
By: and and and and and and
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- Synopsis
- 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 Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgård, concerns Lévy processes reflected at two barriers, where reflection is formulated à 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.
- Copyright:
- 2015
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783319231389
- Related ISBNs:
- 9783319231372
- Publisher:
- Springer International Publishing
- Date of Addition:
- 09/11/19
- Copyrighted By:
- Springer International Publishing, Cham
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
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Other Books
- by Lars Nørvang Andersen
- by Søren Asmussen
- by Frank Aurzada
- by Peter W. Glynn
- by Makoto Maejima
- by Mats Pihlsgård
- by Thomas Simon
- in Nonfiction
- in Mathematics and Statistics