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001 978-3-540-48511-7
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020 _a9783540485117
_9978-3-540-48511-7
024 7 _a10.1007/978-3-540-48511-7
_2doi
050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
072 7 _aPBT
_2bicssc
072 7 _aPBWL
_2bicssc
072 7 _aMAT029000
_2bisacsh
082 0 4 _a519.2
_223
100 1 _aDoney, Ronald A.
_eauthor.
245 1 0 _aFluctuation Theory for Lévy Processes
_h[electronic resource] :
_bEcole d'Eté de Probabilités de Saint-Flour XXXV - 2005 /
_cby Ronald A. Doney ; edited by Jean Picard.
260 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2007.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2007.
300 _aIX, 155 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Mathematics,
_x0075-8434 ;
_v1897
505 0 _ato Lévy Processes -- Subordinators -- Local Times and Excursions -- Ladder Processes and the Wiener–Hopf Factorisation -- Further Wiener–Hopf Developments -- Creeping and Related Questions -- Spitzer's Condition -- Lévy Processes Conditioned to Stay Positive -- Spectrally Negative Lévy Processes -- Small-Time Behaviour.
520 _aLévy processes, i.e. processes in continuous time with stationary and independent increments, are named after Paul Lévy, who made the connection with infinitely divisible distributions and described their structure. They 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 the feature that they include examples having "heavy tails" is particularly important. Their sample path behaviour poses a variety of difficult and fascinating problems. Such problems, and also some related distributional problems, are addressed in detail in these notes that reflect the content of the course given by R. Doney in St. Flour in 2005.
650 0 _aMathematics.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aProbability Theory and Stochastic Processes.
700 1 _aPicard, Jean.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783540485100
786 _dSpringer
830 0 _aLecture Notes in Mathematics,
_x0075-8434 ;
_v1897
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-540-48511-7
942 _2EBK1712
_cEBK
999 _c31006
_d31006