Introductory Lectures on Fluctuations of Lévy Processes with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Introductory Lectures on Fluctuations of Lévy Processes with Applications write by Andreas E. Kyprianou. This book was released on 2006-12-18. Introductory Lectures on Fluctuations of Lévy Processes with Applications available in PDF, EPUB and Kindle. This textbook forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. 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, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness.
Fluctuations of Lévy Processes with Applications
Fluctuations of Lévy Processes with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Fluctuations of Lévy Processes with Applications write by Andreas E. Kyprianou. This book was released on 2014-01-09. Fluctuations of Lévy Processes with Applications available in PDF, EPUB and Kindle. 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 application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. 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, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.
Fluctuations of Levy Processes with Applications
Fluctuations of Levy Processes with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Fluctuations of Levy Processes with Applications write by Andreas E. Kyprianou. This book was released on 2014-01-31. Fluctuations of Levy Processes with Applications available in PDF, EPUB and Kindle.
Queues and Lévy Fluctuation Theory
Queues and Lévy Fluctuation Theory - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Queues and Lévy Fluctuation Theory write by Krzysztof Dębicki. This book was released on 2015-08-06. Queues and Lévy Fluctuation Theory available in PDF, EPUB and Kindle. The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
Lévy Processes and Stochastic Calculus
Lévy Processes and Stochastic Calculus - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Lévy Processes and Stochastic Calculus write by David Applebaum. This book was released on 2009-04-30. Lévy Processes and Stochastic Calculus available in PDF, EPUB and Kindle. A fully revised and appended edition of this unique volume, which develops together these two important subjects.
