Introductory Lectures on Fluctuations of Lévy Processes with Applications
Publication year: 2006
ISBN: 978-3-540-31343-4
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Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by their application in many areas of classical and modern stochastic models including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance and continuous-state branching processes.The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction.
Subject: Mathematics and Statistics, Branching process, Lévy process, Lévy processes, Maximum, Random Walk, Stochastic processes, applied probability, differential equation, fluctuation theory, potential analysis, random walks, stochastic process
