Coverart for item
The Resource Lévy processes, Jean Bertoin

Lévy processes, Jean Bertoin

Label
Lévy processes
Title
Lévy processes
Statement of responsibility
Jean Bertoin
Creator
Subject
Language
eng
Summary
This is an up-to-date and comprehensive account of the theory of Levy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Levy processes and in fluctuation theory. Levy processes with no positive jumps receive special attention, as do stable processes
Member of
Cataloging source
DLC
http://library.link/vocab/creatorName
Bertoin, Jean
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
Lévy processes
Label
Lévy processes, Jean Bertoin
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [242]-259) and index
Contents
I. Levy Processes as Markov Processes -- II. Elements of Potential Theory -- III. Subordinators -- IV. Local Time and Excursions of a Markov Process -- V. Local Times of a Levy Process -- VI. Fluctuation Theory -- VII. Levy Processes with no Positive Jumps -- VIII. Stable Processes and the Scaling Property
Control code
ocm33970050
Dimensions
24 cm.
Extent
x, 265 p.
Isbn
9780521646321
Lccn
95048226
Label
Lévy processes, Jean Bertoin
Publication
Bibliography note
Includes bibliographical references (p. [242]-259) and index
Contents
I. Levy Processes as Markov Processes -- II. Elements of Potential Theory -- III. Subordinators -- IV. Local Time and Excursions of a Markov Process -- V. Local Times of a Levy Process -- VI. Fluctuation Theory -- VII. Levy Processes with no Positive Jumps -- VIII. Stable Processes and the Scaling Property
Control code
ocm33970050
Dimensions
24 cm.
Extent
x, 265 p.
Isbn
9780521646321
Lccn
95048226

Library Locations

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      Ashton Street, Liverpool, L69 3DA, GB
      53.418074 -2.967913
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