Levy Matters V - Functionals of Levy Processes (Paperback, 1st ed. 2015)

This three-chapter volume concerns the distributions of certain functionals of Levy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Levy processes via stochastic integration. The second chapter, by Lars Norvang Andersen, Soren Asmussen, Peter W. Glynn and Mats Pihlsgard, concerns Levy processes reflected at two barriers, where reflection is formulated a 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 Levy process.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Lecture Notes in Mathematics, 2149
Release date:	October 2015
First published:	2015
Authors:	Lars Norvang Andersen • Soren Asmussen • Frank Aurzada • Peter W. Glynn • Makoto Maejima • Mats Pihlsgard • Thomas Simon
Dimensions:	235 x 155 x 13mm (L x W x T)
Format:	Paperback
Pages:	224
Edition:	1st ed. 2015
ISBN-13:	978-3-319-23137-2
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	3-319-23137-5
Barcode:	9783319231372

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!