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Fluctuations of Lévy Processes with Applications : Introductory Lectures / / by Andreas E. Kyprianou
| Fluctuations of Lévy Processes with Applications : Introductory Lectures / / by Andreas E. Kyprianou |
| Autore | Kyprianou Andreas E |
| Edizione | [2nd ed. 2014.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (461 p.) |
| Disciplina | 519.282 |
| Collana | Universitext |
| Soggetto topico |
Probabilities
Economics, Mathematical Probability Theory and Stochastic Processes Quantitative Finance |
| ISBN | 3-642-37632-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Lévy Processes and Applications -- The Lévy–Itô Decomposition and Path Structure -- More Distributional and Path-Related Properties -- General Storage Models and Paths of Bounded Variation -- Subordinators at First Passage and Renewal Measures -- The Wiener–Hopf Factorisation -- Lévy Processes at First Passage -- Exit Problems for Spectrally Negative Processes -- More on Scale Functions -- Ruin Problems and Gerber-Shiu Theory -- Applications to Optimal Stopping Problems -- Continuous-State Branching Processes -- Positive Self-similar Markov Processes -- Epilogue -- Hints for Exercises -- References -- Index. |
| Record Nr. | UNINA-9910300156403321 |
Kyprianou Andreas E
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Gerber–Shiu Risk Theory / / by Andreas E. Kyprianou
| Gerber–Shiu Risk Theory / / by Andreas E. Kyprianou |
| Autore | Kyprianou Andreas E |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (95 p.) |
| Disciplina | 368.00151118 |
| Collana | EAA Series |
| Soggetto topico |
Probabilities
Actuarial science Probability Theory and Stochastic Processes Actuarial Sciences |
| ISBN | 3-319-02303-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- The Wald martingale and the maximum -- The Kella-Whitt martingale and the minimum -- Scale functions and ruin probabilities -- The Gerber–Shiu measure -- Reflection strategies -- Perturbation-at-maximum strategies -- Refraction strategies -- Concluding discussion -- References. |
| Record Nr. | UNINA-9910739409703321 |
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Kyprianou Andreas E
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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