Levy matters I : recent progress in theory and applications : foundations, trees and numerical issues in finance / / Thomas Duquesne ... [et al.] ; editors, Ole E. Barndorff-Nielsen ... [et al.]

• Pubblicazione: Heidelberg ; ; New York, : Springer, c2010
• Edizione: 1st ed. 2010.
• Descrizione fisica: 1 online resource (XIV, 206 p.)
• Disciplina: 519.2
• Soggetto topico: Branching processes; Lévy processes; Trees (Graph theory)
• Altri autori: Barndorff-NielsenO. E (Ole E.) DuquesneThomas JacodJean
• Note generali: "With a short biography of Paul Levy by Jean Jacod".
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Fractional Integrals and Extensions of Selfdecomposability -- Packing and Hausdorff Measures of Stable Trees -- Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing.
• Sommario/riassunto: This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area of Lévy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets.
• Titolo autorizzato: Levy matters I
• ISBN: 9786613569721; 9781280391804; 1280391804; 9783642140075; 3642140076
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910483813703321
• Lo trovi qui: Univ. Federico II
• Serie: Lecture notes in mathematics (Springer-Verlag) ; ; 2001.