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Fluctuation Theory for Lévy Processes: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

✍ Scribed by Professor Ronald A. Doney (auth.), Jean Picard (eds.)

Book ID
127426501
Publisher
Springer
Year
2007
Tongue
English
Weight
1 MB
Edition
1
Category
Library
City
Berlin; New York
ISBN
3540485112
ISSN
0075-8434

No coin nor oath required. For personal study only.

✦ Synopsis

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. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.

✦ Subjects

Probability Theory and Stochastic Processes

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