Coverart for item
The Resource Lévy matters V : functionals of Lévy processes, by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon, (electronic book)

Lévy matters V : functionals of Lévy processes, by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon, (electronic book)

Label
Lévy matters V : functionals of Lévy processes
Title
Lévy matters V
Title remainder
functionals of Lévy processes
Statement of responsibility
by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon
Title variation
Lévy matters 5
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
NUI
Dewey number
  • 519.2/82
  • 519.2
Illustrations
illustrations
Image bit depth
0
Index
no index present
LC call number
  • QA274.73
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Andersen, Lars Nørvang
  • Asmussen, Søren
  • Aurzada, Frank
  • Glynn, Peter W.
  • Maejima, Makoto
  • Pihlsgård, Mats
  • Simon, Thomas
Series statement
  • Lecture notes in mathematics,
  • Lévy matters
Series volume
  • 2149
  • 5
http://library.link/vocab/subjectName
  • Lévy processes
  • Mathematics
  • Probabilities
  • Probability Theory and Stochastic Processes
Label
Lévy matters V : functionals of Lévy processes, by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon, (electronic book)
Instantiates
Publication
Copyright
Antecedent source
mixed
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
SPR932168693
Dimensions
unknown
Extent
1 online resource (xvi, 224 pages)
File format
multiple file formats
Form of item
online
Isbn
9783319231389
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-23138-9
Other physical details
illustrations (some color)
Quality assurance targets
absent
Reformatting quality
access
Reproduction note
Electronic resource.
Specific material designation
remote
Label
Lévy matters V : functionals of Lévy processes, by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon, (electronic book)
Publication
Copyright
Antecedent source
mixed
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
SPR932168693
Dimensions
unknown
Extent
1 online resource (xvi, 224 pages)
File format
multiple file formats
Form of item
online
Isbn
9783319231389
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-23138-9
Other physical details
illustrations (some color)
Quality assurance targets
absent
Reformatting quality
access
Reproduction note
Electronic resource.
Specific material designation
remote

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