Overview

Full Product Details

Author:   Ole E Barndorff-Nielsen ,  Thomas Mikosch ,  Sidney I. Resnick
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 2001
Dimensions:   Width: 17.80cm , Height: 2.30cm , Length: 25.40cm
Weight:   0.824kg
ISBN:  

9781461266570

ISBN 10:   1461266572
Pages:   418
Publication Date:   23 October 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

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.

Reviews

This volume presents a useful summary of some of the recent scientific developments concerning Levy processes. Both introductory and more advanced articles are included. The interested researcher will get a good overview of 'where the action is' whereas students will find numerous interesting research topics to work on ... I am convinced that the text will contribute further to making stochastic models based on general Levy processes even more popular. I, therefore, take pleasure in recommending this volume to all interested readers. -ISI Short Book Reviews

This volume presents a useful summary of some of the recent scientific developments concerning Levy processes. Both introductory and more advanced articles are included. The interested researcher will get a good overview of 'where the action is' whereas students will find numerous interesting research topics to work on . . . I am convinced that the text will contribute further to making stochastic models based on general Levy processes even more popular. I, therefore, take pleasure in recommending this volume to all interested readers. -ISI Short Book Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions