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＜電子ブック＞
Fluctuation Theory for Lévy Processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / by Ronald A. Doney ; edited by Jean Picard
(École d'Été de Probabilités de Saint-Flour ; 1897)

版	1st ed. 2007.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2007
本文言語	英語
大きさ	IX, 155 p : online resource
著者標目	*Doney, Ronald A author Picard, Jean editor SpringerLink (Online service)
件　名	LCSH:Probabilities FREE:Probability Theory
一般注記	to Lévy Processes -- Subordinators -- Local Times and Excursions -- Ladder Processes and the Wiener–Hopf Factorisation -- Further Wiener–Hopf Developments -- Creeping and Related Questions -- Spitzer's Condition -- Lévy Processes Conditioned to Stay Positive -- Spectrally Negative Lévy Processes -- Small-Time Behaviour 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 HTTP:URL=https://doi.org/10.1007/978-3-540-48511-7

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