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Full Product Details

Author:   Ole E Barndorff-Nielsen ,  Thomas Mikosch ,  Sidney I. Resnick
Publisher:   Birkhauser Boston Inc
Imprint:   Birkhauser Boston Inc
Edition:   2001 ed.
Dimensions:   Width: 17.80cm , Height: 2.30cm , Length: 25.40cm
Weight:   2.300kg
ISBN:  

9780817641672

ISBN 10:   081764167
Pages:   418
Publication Date:   30 March 2001
Audience:   College/higher education ,  Professional and scholarly ,  Undergraduate ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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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 LA(c)vy 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 LA(c)vy processes even more popular. I, therefore, take pleasure in recommending this volume to all interested readers. a ISI Short Book Reviews

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