Levy Processes

Name: Levy Processes
Brand: Cambridge University Press
SKU: 9780521646321
Price: 517.26 RON
Availability: InStock

Autor: Jean Bertoin

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Editura: Cambridge University Press

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This 1996 book is a comprehensive account of the theory of Lévy processes. This branch of modern pro...

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Autor

Jean Bertoin

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

1998

Pagini

278

EAN

9780521646321

ISBN

0521646324

Enbook ID

04378567

Editura

Cambridge University Press

Greutate

416

Dimensiuni

153 x 229 x 15

Descriere completă

This 1996 book is a comprehensive account of the theory of Lévy 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 Lévy processes and in fluctuation theory. Lévy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

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