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A Martingale Review Of Some Fluctuation Theory For Spectrally Negative Levy Processes
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Book Synopsis A Martingale Review of Some Fluctuation Theory for Spectrally Negative Lévy Processes by : Andreas E. Kyprianou
Download or read book A Martingale Review of Some Fluctuation Theory for Spectrally Negative Lévy Processes written by Andreas E. Kyprianou and published by . This book was released on 2003 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fluctuation Theory for Lévy Processes by : Ronald A. Doney
Download or read book Fluctuation Theory for Lévy Processes written by Ronald A. Doney and published by Springer. This book was released on 2007-04-25 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Fluctuations of Lévy Processes with Applications by : Andreas E. Kyprianou
Download or read book Fluctuations of Lévy Processes with Applications written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2014-01-09 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Séminaire de Probabilités XXXVIII by : Michel Émery
Download or read book Séminaire de Probabilités XXXVIII written by Michel Émery and published by Springer. This book was released on 2004-11-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions whose topics range from analysis of semi-groups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes.
Book Synopsis Fluctuation Theory and Stochastic Games for Spectrally Negative Lévy Processes by : Erik Jan Baurdoux
Download or read book Fluctuation Theory and Stochastic Games for Spectrally Negative Lévy Processes written by Erik Jan Baurdoux and published by . This book was released on 2007 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Séminaire de Probabilités XLI by : Catherine Donati-Martin
Download or read book Séminaire de Probabilités XLI written by Catherine Donati-Martin and published by Springer. This book was released on 2008-08-30 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are as usual the main subject of the Séminaire, with contributions on Brownian motion (fractional or other), Lévy processes, martingales and probabilistic finance. Other probabilistic themes are also present: large random matrices, statistical mechanics. The contributions in this volume provide a sampling of recent results on these topics. All contributions with the exception of two are written in English language.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book LNM written by and published by . This book was released on 2008 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents of 1-14 (1966/67-1978/79) in v. 15 (1979/80)
Download or read book Lévy Matters II written by Serge Cohen and published by Springer. This book was released on 2012-09-14 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters, which is published at irregular intervals over the years. Each volume examines a number of key topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The expository articles in this second volume cover two important topics in the area of Lévy processes. The first article by Serge Cohen reviews the most important findings on fractional Lévy fields to date in a self-contained piece, offering a theoretical introduction as well as possible applications and simulation techniques. The second article, by Alexey Kuznetsov, Andreas E. Kyprianou, and Victor Rivero, presents an up to date account of the theory and application of scale functions for spectrally negative Lévy processes, including an extensive numerical overview.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis Gerber–Shiu Risk Theory by : Andreas E. Kyprianou
Download or read book Gerber–Shiu Risk Theory written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2013-10-02 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramér–Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the deficit at ruin. Recent developments in exotic ruin theory are also considered. In particular, by making dividend or tax payments out of the surplus process, the effect on ruin is explored. Gerber-Shiu Risk Theory can be used as lecture notes and is suitable for a graduate course. Each chapter corresponds to approximately two hours of lectures.
Book Synopsis A Lifetime of Excursions Through Random Walks and Lévy Processes by : Loïc Chaumont
Download or read book A Lifetime of Excursions Through Random Walks and Lévy Processes written by Loïc Chaumont and published by Birkhäuser. This book was released on 2022-12-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Introductory Lectures on Fluctuations of Lévy Processes with Applications by : Andreas E. Kyprianou
Download or read book Introductory Lectures on Fluctuations of Lévy Processes with Applications written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2006-12-18 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. 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 transparency and explicitness.
Book Synopsis Combinatorial Stochastic Processes by : Jim Pitman
Download or read book Combinatorial Stochastic Processes written by Jim Pitman and published by Springer Science & Business Media. This book was released on 2006-05-11 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.
Book Synopsis Markov Processes, Semigroups, and Generators by : Vassili N. Kolokoltsov
Download or read book Markov Processes, Semigroups, and Generators written by Vassili N. Kolokoltsov and published by Walter de Gruyter. This book was released on 2011 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work offers a highly useful, well developed reference on Markov processes, the universal model for random processes and evolutions. The wide range of applications, in exact sciences as well as in other areas like social studies, require a volume that offers a refresher on fundamentals before conveying the Markov processes and examples for
Book Synopsis Séminaire de Probabilités XXXVIII by : Michel Émery
Download or read book Séminaire de Probabilités XXXVIII written by Michel Émery and published by Springer Science & Business Media. This book was released on 2004-12-02 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions whose topics range from analysis of semi-groups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes.
Book Synopsis Ruin Probabilities by : S?ren Asmussen
Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.
