Lévy Processes Theory and Applications
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...
| Other Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Boston, MA
Birkhäuser
2001, 2001
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| Edition: | 1st ed. 2001 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- I. A Tutorial on Levy Processes
- Basic Results on Lévy Processes
- II. Distributional, Pathwise, and Structural Results
- Exponential Functionals of Lévy Processes
- Fluctuation Theory for Lévy Processes
- Gaussian Processes and Local Times of Symmetric Lévy Processes
- Temporal Change in Distributional Properties of Lévy Processes
- III. Extensions and Generalizations of Lévy Processes
- Lévy Processes in Stochastic Differential Geometry
- Lévy-Type Processes and Pseudodifferential Operators
- Semistable Distributions
- IV. Applications in Physics
- Analytic and Probabilistic Aspects of Lévy Processes and Fields in Quantum Theory
- Lévy Processes and Continuous Quantum Measurements
- Lévy Processes in the Physical Sciences
- Some Properties of Burgers Turbulence with White or Stable Noise Initial Data
- V. Applications in Finance
- Modelling by Lévy Processess for Financial Econometrics
- Application of Generalized Hyperbolic Lévy Motions to Finance
- Explicit Form and Path Regularity of Martingale Representations
- Interpretations in Terms of Brownian and Bessel Meanders of the Distribution of a Subordinated Perpetuity
- VI. Numerical and Statistical Aspects
- Maximum Likelihood Estimation and Diagnostics for Stable Distributions
- Series Representations of Lévy Processes from the Perspective of Point Processes