03116nam 2200637 450 991048298750332120220821131144.01-280-85335-297866108533593-540-48511-210.1007/978-3-540-48511-7(CKB)1000000000282793(EBL)3036614(SSID)ssj0000156160(PQKBManifestationID)11156471(PQKBTitleCode)TC0000156160(PQKBWorkID)10123745(PQKB)10760016(DE-He213)978-3-540-48511-7(MiAaPQ)EBC3036614(MiAaPQ)EBC6812108(Au-PeEL)EBL6812108(OCoLC)1287133977(PPN)123158176(EXLCZ)99100000000028279320220821d2007 uy 0engur|n|---|||||txtccrFluctuation theory for Lévy processes Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 /edited by Jean Picard and Ronald A. Doney1st ed. 2007.Berlin, Heidelberg :Springer-Verlag,[2007]©20071 online resource (153 p.)École d'Été de Probabilités de Saint-Flour,0721-5363 ;1897Description based upon print version of record.3-540-48510-4 Includes bibliographical references (p. [133]-137) and index.to Lévy Processes -- Subordinators -- Local Times and Excursions -- Ladder Processes and the Wiener–Hopf Factorisation -- Further Wiener–Hopf Developments -- Creeping and Related Questions -- Spitzer's Condition -- Lévy Processes Conditioned to Stay Positive -- Spectrally Negative Lévy Processes -- Small-Time Behaviour.Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They form a flexible class of models, which have been applied to the study of storage processes, insurance risk, queues, turbulence, laser cooling, ... and of course finance, where the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.École d'Été de Probabilités de Saint-Flour,0721-5363 ;1897Lévy processesLévy processes.519.282Picard Jean1959-Doney Ronald A.Ecole d'été de probabilités de Saint-Flour(35th :2005)MiAaPQMiAaPQMiAaPQBOOK9910482987503321Fluctuation theory for Lévy processes2905564UNINA