Levy Processes (BOK)

Jean Bertoin

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This 1996 book is a comprehensive account of the theory of Levy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Levy processes and in fluctuation theory. Levy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

Produktfakta

Språk Engelsk Engelsk Innbinding Heftet
Utgitt 1998 Forfatter Jean Bertoin
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9780521646321
Antall sider 278 Dimensjoner 22,9cm x 15,6cm x 1,7cm
Vekt 432 gram Leverandør Bertram Trading Ltd