Cambridge Tracts in Mathematics

Author: Jean Bertoin

Publisher: Cambridge University Press

ISBN: 9780521646321

Category: Mathematics

Page: 266

View: 6352

This 1996 book is a comprehensive account of the theory of Lévy processes; aimed at probability theorists.
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Lévy Processes

Theory and Applications

Author: Ole E Barndorff-Nielsen,Thomas Mikosch,Sidney I. Resnick

Publisher: Springer Science & Business Media

ISBN: 1461201977

Category: Mathematics

Page: 418

View: 4794

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 most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.
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Advances in Mathematical Finance

Author: Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott

Publisher: Springer Science & Business Media

ISBN: 0817645454

Category: Business & Economics

Page: 336

View: 8894

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
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XII Symposium of Probability and Stochastic Processes

Merida, Mexico, November 16–20, 2015

Author: Daniel Hernández-Hernández,Juan Carlos Pardo,Victor Rivero

Publisher: Springer

ISBN: 3319776436

Category: Mathematics

Page: 234

View: 5139

This volume contains the proceedings of the XII Symposium of Probability and Stochastic Processes which took place at Universidad Autonoma de Yucatan in Merida, Mexico, on November 16–20, 2015. This meeting was the twelfth meeting in a series of ongoing biannual meetings aimed at showcasing the research of Mexican probabilists as well as promote new collaborations between the participants. The book features articles drawn from different research areas in probability and stochastic processes, such as: risk theory, limit theorems, stochastic partial differential equations, random trees, stochastic differential games, stochastic control, and coalescence. Two of the main manuscripts survey recent developments on stochastic control and scaling limits of Markov-branching trees, written by Kazutoshi Yamasaki and Bénédicte Haas, respectively. The research-oriented manuscripts provide new advances in active research fields in Mexico. The wide selection of topics makes the book accessible to advanced graduate students and researchers in probability and stochastic processes.
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Lévy Processes in Lie Groups

Author: Ming Liao

Publisher: Cambridge University Press

ISBN: 9780521836531

Category: Mathematics

Page: 266

View: 9650

Up-to-the minute research on important stochastic processes.
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Annales de l'I.H.P.

Probabilités et statistiques

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Probabilities

Page: N.A

View: 1586

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ASTIN Bulletin

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Insurance

Page: N.A

View: 5094

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Unsolved Problems of Noise and Fluctuations

UPoN'99: Second International Conference, Adelaide, Australia 11-15 July 1999

Author: Derek Abbott,Laszlo B. Kish

Publisher: American Inst. of Physics

ISBN: 9781563968266

Category: Mathematics

Page: 561

View: 9233

Noise and fluctuations are at the seat of all physical systems. The advertised scope of the conference included gravitational wave detection, quantum fluctuations, quantum Brownian motion, Brownian ratchets, stochastic resonance, biological systems, semiconductors, electronic devices, sandpile physics, optical phenomena and all types of stochastic phenomena. This solicited a wide range of papers from cosmology to biology to electronic devices. Using the study of fluctuations as the unifying theme for these diverse disciplines is a new and exciting concept. UpoN is a unique conference in that it focuses on open questions and problems, rather than answers. 90% of the solution is asking the right question. The discovery of a problem is often more profound than the discovery of a solution. In the spirit of this conference, authors were asked to (1) conclude each manuscript with a section called "Conclusions and Open Questions" and (2) ask questions to the audience at the end of their oral presentation. An important characteristic of this conference is that refereeing of all papers was carried out to a high standard by the International Scientific Advisory Committee using a strict double-blind refereeing process.
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The Lévy Laplacian

Author: M. N. Feller

Publisher: Cambridge University Press

ISBN: 9781139447966

Category: Mathematics

Page: N.A

View: 5828

The Lévy Laplacian is an infinite-dimensional generalization of the well-known classical Laplacian. The theory has become well developed in recent years and this book was the first systematic treatment of the Lévy–Laplace operator. The book describes the infinite-dimensional analogues of finite-dimensional results, and more especially those features which appear only in the generalized context. It develops a theory of operators generated by the Lévy Laplacian and the symmetrized Lévy Laplacian, as well as a theory of linear and nonlinear equations involving it. There are many problems leading to equations with Lévy Laplacians and to Lévy–Laplace operators, for example superconductivity theory, the theory of control systems, the Gauss random field theory, and the Yang–Mills equation. The book is complemented by an exhaustive bibliography. The result is a work that will be valued by those working in functional analysis, partial differential equations and probability theory.
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