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Levy matters Vfunctionals of Levy pr...

Andersen, Lars Norvang.

Levy matters Vfunctionals of Levy processes /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Levy matters Vby Lars Norvang Andersen ... [et al.].
其他題名:	functionals of Levy processes /
其他題名:	Levy matters 5
其他作者:	Andersen, Lars Norvang.
出版者:	Cham :Springer International Publishing :2015.
面頁冊數:	xvi, 224 p. :ill. (some col.), digital ;24 cm.
Contained By:	Springer eBooks
標題:	Levy processes.
電子資源:	http://dx.doi.org/10.1007/978-3-319-23138-9
ISBN:	9783319231389$q(electronic bk.)

Levy matters Vfunctionals of Levy processes /
Levy matters Vfunctionals of Levy processes /[electronic resource] :Levy matters 5by Lars Norvang Andersen ... [et al.]. - Cham :Springer International Publishing :2015. - xvi, 224 p. :ill. (some col.), digital ;24 cm. - Lecture notes in mathematics,21490075-8434 ;. - Lecture notes in mathematics ;2035..

Makoto Maejima: Classes of infinitely divisible distributions and examples -- Lars Norvang Andersen, Soren Asmussen, Peter W. Glynn and Mats Pihlsgard: Levy 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 Levy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Levy processes via stochastic integration. The second chapter, by Lars Norvang Andersen, Soren Asmussen, Peter W. Glynn and Mats Pihlsgard, concerns Levy processes reflected at two barriers, where reflection is formulated a 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 Levy process

ISBN: 9783319231389$q(electronic bk.)

Standard No.: 10.1007/978-3-319-23138-9doiSubjects--Topical Terms:

205891
Levy processes.

LC Class. No.: QA274.73

Dewey Class. No.: 519.282

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520 $a This three-chapter volume concerns the distributions of certain functionals of Levy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Levy processes via stochastic integration. The second chapter, by Lars Norvang Andersen, Soren Asmussen, Peter W. Glynn and Mats Pihlsgard, concerns Levy processes reflected at two barriers, where reflection is formulated a 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 Levy process
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