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Lévy matters V [e-book] : functionals of Lévy processes / by Lars Nørvang Andersen ... [et al.]



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Titolo: Lévy matters V [e-book] : functionals of Lévy processes / by Lars Nørvang Andersen ... [et al.] Visualizza cluster
Pubblicazione: Cham [Switzerland] : Springer, 2015
Descrizione fisica: 1 online resource (xvi, 224 pages)
Disciplina: 519.2
Titolo uniforme di collana: Lévy matters ; 5
Soggetto topico: Lévy processes
Probabilities
Classificazione: AMS 60-06
AMS 60E07
AMS 60F99
AMS 60G51
AMS 60K25
LC QA274.73
Altri autori: Andersen, Lars Nørvangauthor  
Nota di bibliografia: Includes bibliographical references
Nota di contenuto: Makoto Maejima: Classes of infinitely divisible distributions and examples ; Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgard: Lévy processes with two-sided reflection ; Persistence probabilities and exponents ; Frank Aurzada and Thomas Simon: Persistence probabilities and exponents
Sommario/riassunto: 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 à 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
Altri titoli varianti: Lévy matters 5
ISBN: 9783319231389
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 991002947909707536
Lo trovi qui: Univ. del Salento
Localizzazioni e accesso elettronico http://link.springer.com/book/10.1007%2F978-3-319-23138-9
Opac: Controlla la disponibilità qui
Serie: Lévy matters ; 5 Lecture notes in mathematics, 1617-9692 ; 2149
Altra ed. diverso supporto: Printed edition: 9783319231372