Fluctuation Theory for Lévy Processes
Publication year: 2007
ISBN: 978-3-540-48511-7
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Lévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They form a flexible class of models, which have been applied to the study of storage processes, insurance risk, queues, turbulence, laser cooling, ... and of course finance, where the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems
Subject: Mathematics and Statistics, Ladder processes, Lévy process, Lévy processes, Reflected process, Sample path behaviour
