| 书目名称 | Lévy Matters V | | 副标题 | Functionals of Lévy | | 编辑 | Lars Nørvang Andersen,Søren Asmussen,Thomas Simon | | 视频video | | | 概述 | Includes supplementary material: | | 丛书名称 | Lecture Notes in Mathematics | | 图书封面 |  | | 描述 | .This three-chapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Lévy processes via stochastic integration. The second chapter, by Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgård, concerns Lévy processes reflected at two barriers, where reflection is formulated à la Skorokhod. These processes can be used to model systems with a finite capacity, which is crucial in many real life situations, a most important quantity being the overflow or the loss occurring at the upper barrier. If a process is killed when crossing the boundary, a natural question concerns its lifetime. Deep formulas from fluctuation theory are the key to many classical results, which are reviewed in the third chapter by Frank Aurzada and Thomas Simon. The main part, however, discusses recent advances and developments in the setting where the process is given either by the partial sum of a random walk or the integral of a Lévy process.. | | 出版日期 | Book 2015 | | 关键词 | 60E07,60G18,60G51,60K20,60K35; First passage problem,; Infinitely divisible distribution,; Reflected Lé | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-23138-9 | | isbn_softcover | 978-3-319-23137-2 | | isbn_ebook | 978-3-319-23138-9Series ISSN 0075-8434 Series E-ISSN 1617-9692 | | issn_series | 0075-8434 | | copyright | Springer International Publishing Switzerland 2015 |
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发表于 2025-3-21 17:51:49
