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The Resource Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon

Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon

Author
Contributor
Summary
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 á 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
Language
eng
Work
Publication
Extent
xvi, 224 pages
Contents
  • Classes of Infinitely Divisible Distributions and Examples
  • Lévy Processes with Two-Sided Reflection
  • Persistence Probabilities and Exponents
Isbn
9783319231372
Instance
Label
Lévy matters, V, Functionals of Lévy processes
Title
Lévy matters
Title number
V
Title part
Functionals of Lévy processes
Statement of responsibility
Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon
Contributor
Author
Subject
Language
eng
Summary
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 á 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
Member of
Cataloging source
OHX
Dewey number
519.2
Illustrations
illustrations
Index
no index present
LC call number
  • QA3
  • QA274.73
LC item number
  • .L28 2149
  • .L48 2015
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Andersen, Lars Nørvang
  • Asmussen, Søren
  • Aurzada, Frank
  • Glynn, Peter W.
  • Maejima, Makoto
  • Pihlsgård, Mats
  • Simon, Thomas
Series statement
  • Lecture notes in mathematics,
  • Lévy matters
Series volume
  • 2149
  • V
http://library.link/vocab/subjectName
  • Lévy processes
  • Lévy processes
Label
Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Classes of Infinitely Divisible Distributions and Examples -- Lévy Processes with Two-Sided Reflection -- Persistence Probabilities and Exponents
Control code
930610629
Dimensions
24 cm
Extent
xvi, 224 pages
Isbn
9783319231372
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other control number
9783319231372
Other physical details
illustrations (chiefly color)
System control number
(OCoLC)930610629
Label
Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Classes of Infinitely Divisible Distributions and Examples -- Lévy Processes with Two-Sided Reflection -- Persistence Probabilities and Exponents
Control code
930610629
Dimensions
24 cm
Extent
xvi, 224 pages
Isbn
9783319231372
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other control number
9783319231372
Other physical details
illustrations (chiefly color)
System control number
(OCoLC)930610629

Subject

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