Introductory Lectures on Fluctuations of Lévy Processes with Applications
Springer Berlin (Verlag)
978-3-540-31342-7 (ISBN)
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Andreas Kyprianou has a degree in Mathematics from the University of Oxford and a Ph.D. in Probability Theory from The University of Sheffield. He is currently a Professor of Probability at the University of Bath, having held academic positions in Mathematics and Statistics Departments at the London School of Economics, Edinburgh University, Utrecht University and Heriot-Watt University, besides working for nearly two years as a research mathematician in the oil industry. His research is focused on pure and applied probability.
Lévy Processes and Applications.- TheLévy–Itô Decomposition and Path Structure.- More Distributional and Path-Related Properties.- General Storage Models and Paths of Bounded Variation.- Subordinators at First Passage and Renewal Measures.- The Wiener–Hopf Factorisation.- Lévy Processes at First Passage and Insurance Risk.- Exit Problems for Spectrally Negative Processes.- Applications to Optimal Stopping Problems.- Continuous-State Branching Processes.
Erscheint lt. Verlag | 19.7.2006 |
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Reihe/Serie | Universitext |
Zusatzinfo | XIII, 378 p. 22 illus. |
Verlagsort | Berlin |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 595 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Analysis |
Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
Schlagworte | applied probability • Branching Process • differential equation • fluctuation theory • Lévy process • Lévy processes • Maximum • potential analysis • Random Walk • random walks • Stochastic process • Stochastic Processes |
ISBN-10 | 3-540-31342-7 / 3540313427 |
ISBN-13 | 978-3-540-31342-7 / 9783540313427 |
Zustand | Neuware |
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