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
Resource Information
The item Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Lévy matters, V, Functionals of Lévy processes, Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 This threechapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main subclasses 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
 Extent
 xvi, 224 pages
 Contents

 Classes of Infinitely Divisible Distributions and Examples
 Lévy Processes with TwoSided Reflection
 Persistence Probabilities and Exponents
 Isbn
 9783319231372
 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
 Language
 eng
 Summary
 This threechapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main subclasses 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
 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
 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 TwoSided 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
 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 TwoSided 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
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