Lévy Processes And Infinitely Divisible Distributions

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Lévy Processes and Infinitely Divisible Distributions

Author : Sato Ken-Iti
Publisher : Cambridge University Press
Page : 504 pages
File Size : 40,5 Mb
Release : 1999
Category : Distribution (Probability theory)
ISBN : 0521553024

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Lévy Processes and Infinitely Divisible Distributions by Sato Ken-Iti Pdf

Topics in Infinitely Divisible Distributions and Lévy Processes, Revised Edition

Author : Alfonso Rocha-Arteaga,Ken-iti Sato
Publisher : Springer Nature
Page : 135 pages
File Size : 51,7 Mb
Release : 2019-11-02
Category : Mathematics
ISBN : 9783030227005

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Topics in Infinitely Divisible Distributions and Lévy Processes, Revised Edition by Alfonso Rocha-Arteaga,Ken-iti Sato Pdf

This book deals with topics in the area of Lévy processes and infinitely divisible distributions such as Ornstein-Uhlenbeck type processes, selfsimilar additive processes and multivariate subordination. These topics are developed around a decreasing chain of classes of distributions Lm, m = 0,1,...,∞, from the class L0 of selfdecomposable distributions to the class L∞ generated by stable distributions through convolution and convergence. The book is divided into five chapters. Chapter 1 studies basic properties of Lm classes needed for the subsequent chapters. Chapter 2 introduces Ornstein-Uhlenbeck type processes generated by a Lévy process through stochastic integrals based on Lévy processes. Necessary and sufficient conditions are given for a generating Lévy process so that the OU type process has a limit distribution of Lm class. Chapter 3 establishes the correspondence between selfsimilar additive processes and selfdecomposable distributions and makes a close inspection of the Lamperti transformation, which transforms selfsimilar additive processes and stationary type OU processes to each other. Chapter 4 studies multivariate subordination of a cone-parameter Lévy process by a cone-valued Lévy process. Finally, Chapter 5 studies strictly stable and Lm properties inherited by the subordinated process in multivariate subordination. In this revised edition, new material is included on advances in these topics. It is rewritten as self-contained as possible. Theorems, lemmas, propositions, examples and remarks were reorganized; some were deleted and others were newly added. The historical notes at the end of each chapter were enlarged. This book is addressed to graduate students and researchers in probability and mathematical statistics who are interested in learning more on Lévy processes and infinitely divisible distributions.

Lévy Processes and Infinitely Divisible Distributions

Author : 健一·佐藤
Publisher : Unknown
Page : 486 pages
File Size : 42,5 Mb
Release : 1999-11-11
Category : Mathematics
ISBN : 0521553024

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Lévy Processes and Infinitely Divisible Distributions by 健一·佐藤 Pdf

Lévy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book is intended to provide the reader with comprehensive basic knowledge of Lévy processes, and at the same time serve as an introduction to stochastic processes in general. No specialist knowledge is assumed and proofs are given in detail. Systematic study is made of stable and semi-stable processes, and the author gives special emphasis to the correspondence between Lévy processes and infinitely divisible distributions. All serious students of random phenomena will find that this book has much to offer. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book's initial publication.

Topics in Infinitely Divisible Distributions and Lévy Processes

Author : Alfonso Rocha Arteaga,Ken-iti Sato
Publisher : Unknown
Page : 140 pages
File Size : 48,5 Mb
Release : 2003
Category : Distribution (Probability theory)
ISBN : CORNELL:31924099177739

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Topics in Infinitely Divisible Distributions and Lévy Processes by Alfonso Rocha Arteaga,Ken-iti Sato Pdf

Fluctuation Theory for Lévy Processes

Author : Ronald A. Doney
Publisher : Springer
Page : 155 pages
File Size : 49,8 Mb
Release : 2007-04-25
Category : Mathematics
ISBN : 9783540485117

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Fluctuation Theory for Lévy Processes by Ronald A. Doney Pdf

Lévy processes, that is, processes in continuous time with stationary and independent increments, 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 they include particularly important examples having "heavy tails." Their sample path behaviour poses a variety of challenging and fascinating problems, which are addressed in detail.

Lévy Processes

Author : Ole E Barndorff-Nielsen,Thomas Mikosch,Sidney I. Resnick
Publisher : Springer Science & Business Media
Page : 418 pages
File Size : 47,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461201977

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Lévy Processes by Ole E Barndorff-Nielsen,Thomas Mikosch,Sidney I. Resnick Pdf

A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.

Fluctuations of Lévy Processes with Applications

Author : Andreas E. Kyprianou
Publisher : Springer Science & Business Media
Page : 455 pages
File Size : 46,5 Mb
Release : 2014-01-09
Category : Mathematics
ISBN : 9783642376320

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Fluctuations of Lévy Processes with Applications by Andreas E. Kyprianou Pdf

Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.

Lévy Matters I

Author : Thomas Duquesne,Oleg Reichmann,Ken-iti Sato,Christoph Schwab
Publisher : Springer
Page : 206 pages
File Size : 43,7 Mb
Release : 2010-09-02
Category : Mathematics
ISBN : 9783642140075

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Lévy Matters I by Thomas Duquesne,Oleg Reichmann,Ken-iti Sato,Christoph Schwab Pdf

Focusing on the breadth of the topic, this volume explores Lévy processes and applications, and presents the state-of-the-art in this evolving area of study. These expository articles help to disseminate important theoretical and applied research to those studying the field.

Lévy Matters V

Author : Lars Nørvang Andersen,Søren Asmussen,Frank Aurzada,Peter W. Glynn,Makoto Maejima,Mats Pihlsgård,Thomas Simon
Publisher : Springer
Page : 224 pages
File Size : 54,9 Mb
Release : 2015-10-24
Category : Mathematics
ISBN : 9783319231389

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Lévy Matters V by Lars Nørvang Andersen,Søren Asmussen,Frank Aurzada,Peter W. Glynn,Makoto Maejima,Mats Pihlsgård,Thomas Simon Pdf

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.

Infinite Divisibility of Probability Distributions on the Real Line

Author : Fred W. Steutel,Klaas van Harn
Publisher : CRC Press
Page : 562 pages
File Size : 49,6 Mb
Release : 2003-10-03
Category : Mathematics
ISBN : 9780203014127

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Infinite Divisibility of Probability Distributions on the Real Line by Fred W. Steutel,Klaas van Harn Pdf

Infinite Divisibility of Probability Distributions on the Real Line reassesses classical theory and presents new developments, while focusing on divisibility with respect to convolution or addition of independent random variables. This definitive, example-rich text supplies approximately 100 examples to correspond with all major chapter topics and reviews infinite divisibility in light of the central limit problem. It contrasts infinite divisibility with finite divisibility, discusses the preservation of infinite divisibility under mixing for many classes of distributions, and investigates self-decomposability and stability on the nonnegative reals, nonnegative integers, and the reals.

A Lifetime of Excursions Through Random Walks and Lévy Processes

Author : Loïc Chaumont,Andreas E. Kyprianou
Publisher : Springer Nature
Page : 354 pages
File Size : 51,8 Mb
Release : 2022-01-01
Category : Mathematics
ISBN : 9783030833091

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A Lifetime of Excursions Through Random Walks and Lévy Processes by Loïc Chaumont,Andreas E. Kyprianou Pdf

This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Linear and Non-Linear Financial Econometrics

Author : Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj
Publisher : BoD – Books on Demand
Page : 339 pages
File Size : 49,9 Mb
Release : 2021-03-17
Category : Business & Economics
ISBN : 9781839624865

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Linear and Non-Linear Financial Econometrics by Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj Pdf

The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Continuous-Parameter Time Series

Author : Peter J. Brockwell,Alexander M. Lindner
Publisher : Walter de Gruyter GmbH & Co KG
Page : 673 pages
File Size : 49,6 Mb
Release : 2024-07-22
Category : Mathematics
ISBN : 9783111325200

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Continuous-Parameter Time Series by Peter J. Brockwell,Alexander M. Lindner Pdf

This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. Lévy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of Lévy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.

Integro-Differential Elliptic Equations

Author : Xavier Fernández-Real
Publisher : Springer Nature
Page : 409 pages
File Size : 45,9 Mb
Release : 2024-06-09
Category : Electronic
ISBN : 9783031542428

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Integro-Differential Elliptic Equations by Xavier Fernández-Real Pdf