Fluctuation Theory for Lévy Processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005

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 storag...

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Main Author: Doney, Ronald A.
Corporate Author: SpringerLink (Online service)
Other Authors: Picard, Jean (Editor)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2007, 2007
Edition:1st ed. 2007
Series:École d'Été de Probabilités de Saint-Flour
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • to 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