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Lévy Matters : Functionals of Lévy Processes (Vol 5) (Paperback) (Lars Nu00f8rvang Andersen &

Lévy Matters : Functionals of Lévy Processes (Vol 5) (Paperback) (Lars Nu00f8rvang Andersen & - image 1 of 1

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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.

Number of Pages: 220
Genre: Mathematics
Sub-Genre: Probability + Statistics / General
Series Title: Lecture Notes in Mathematics, 2149
Format: Paperback
Publisher: Springer Verlag
Volume number: 5
Author: Lars Nu00f8rvang Andersen & Su00f8ren Asmussen & Frank Aurzada & Peter W. Glynn & Makoto Maejima
Language: English
Street Date: November 5, 2015
TCIN: 50605483
UPC: 9783319231372
Item Number (DPCI): 248-08-8642
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