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Fluctuation Theory for Lévy Processes

Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

Authors:

Editors:

Part of the book series: Lecture Notes in Mathematics (LNM, volume 1897)

Part of the book sub series: École d'Été de Probabilités de Saint-Flour (LNMECOLE)

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Table of contents (10 chapters)

About this book

Lévy 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.

Keywords

  • Ladder processes
  • Lévy process
  • Lévy processes
  • Reflected process
  • Sample path behaviour
  • Wiener-Hopf factorisation
  • local time

Authors, Editors and Affiliations

  • Laboratoire de Mathématiques Appliquées, Université Blaise Pascal (Clermont-Ferrand), Aubière Cedex, France

    Jean Picard

  • School of Mathematics, University of Manchester, Manchester, UK

    Ronald A. Doney

Bibliographic Information

  • Book Title: Fluctuation Theory for Lévy Processes

  • Book Subtitle: Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

  • Authors: Ronald A. Doney

  • Editors: Jean Picard

  • Series Title: Lecture Notes in Mathematics

  • DOI: https://doi.org/10.1007/978-3-540-48511-7

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2007

  • Softcover ISBN: 978-3-540-48510-0Published: 19 April 2007

  • eBook ISBN: 978-3-540-48511-7Published: 25 April 2007

  • Series ISSN: 0075-8434

  • Series E-ISSN: 1617-9692

  • Edition Number: 1

  • Number of Pages: IX, 155

  • Topics: Probability Theory

Buying options

eBook USD 34.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 49.95
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions