<電子ブック>
Lévy Matters V : Functionals of Lévy Processes / by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon
(Lévy Matters, A Subseries on Lévy Processes ; 2149)
版 | 1st ed. 2015. |
---|---|
出版者 | (Cham : Springer International Publishing : Imprint: Springer) |
出版年 | 2015 |
大きさ | XVI, 224 p. 8 illus., 7 illus. in color : online resource |
著者標目 | *Andersen, Lars Nørvang author Asmussen, Søren author Aurzada, Frank author Glynn, Peter W author Maejima, Makoto author Pihlsgård, Mats author Simon, Thomas author SpringerLink (Online service) |
件 名 | LCSH:Probabilities FREE:Probability Theory |
一般注記 | Makoto Maejima: Classes of infinitely divisible distributions and examples -- Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgard: Lévy processes with two-sided reflection -- Persistence probabilities and exponents -- Frank Aurzada and Thomas Simon: Persistence probabilities and exponents This three-chapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Lévy processes via stochastic integration. The second chapter, by Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgård, concerns Lévy processes reflected at two barriers, where reflection is formulated à la Skorokhod. These processes can be used to model systems with a finite capacity, which is crucial in many real life situations, a most important quantity being the overflow or the loss occurring at the upper barrier. If a process is killed when crossing the boundary, a natural question concerns its lifetime. Deep formulas from fluctuation theory are the key to many classical results, which are reviewed in the third chapter by Frank Aurzada and Thomas Simon. The main part, however, discusses recent advances and developments in the setting where the process is given either by the partial sum of a random walk or the integral of a Lévy process. HTTP:URL=https://doi.org/10.1007/978-3-319-23138-9 |
目次/あらすじ
所蔵情報を非表示
電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
電子ブック | オンライン | 電子ブック |
|
Springer eBooks | 9783319231389 |
|
電子リソース |
|
EB00211284 |
書誌詳細を非表示
データ種別 | 電子ブック |
---|---|
分 類 | LCC:QA273.A1-274.9 DC23:519.2 |
書誌ID | 4000119530 |
ISBN | 9783319231389 |
類似資料
この資料の利用統計
このページへのアクセス回数:4回
※2017年9月4日以降