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Books > Business & Economics > Business & management > Management & management techniques > Operational research
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Levy Processes - Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2001)
Loot Price: R5,188
Discovery Miles 51 880
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Levy Processes - Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2001)
Expected to ship within 18 - 22 working days
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A Levy process is a continuous-time analogue of a random walk, and
as such, is at the cradle of modern theories of stochastic
processes. Martingales, Markov processes, and diffusions are
extensions and generalizations of these processes. In the past,
representatives of the Levy class were considered most useful for
applications to either Brownian motion or the Poisson process.
Nowadays the need for modeling jumps, bursts, extremes and other
irregular behavior of phenomena in nature and society has led to a
renaissance of the theory of general Levy processes. Researchers
and practitioners in fields as diverse as physics, meteorology,
statistics, insurance, and finance have rediscovered the simplicity
of Levy processes and their enormous flexibility in modeling tails,
dependence and path behavior. This volume, with an excellent
introductory preface, describes the state-of-the-art of this
rapidly evolving subject with special emphasis on the non-Brownian
world. Leading experts present surveys of recent developments, or
focus on some most promising applications. Despite its special
character, every topic is aimed at the non- specialist, keen on
learning about the new exciting face of a rather aged class of
processes. An extensive bibliography at the end of each article
makes this an invaluable comprehensive reference text. For the
researcher and graduate student, every article contains open
problems and points out directions for futurearch. The accessible
nature of the work makes this an ideal introductory text for
graduate seminars in applied probability, stochastic processes,
physics, finance, and telecommunications, and a unique guide to the
world of Levy processes.
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