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Lévy Processes: Theory and Applications

Lévy Processes: Theory and Applications

Hardcover

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 081764167X
ISBN13: 9780817641672
Publisher: Birkhauser
Published: Mar 30 2001
Pages: 418
Weight: 2.07
Height: 1.04 Width: 7.27 Depth: 10.25
Language: English
In the past, representatives of the L, vy 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 L, vy processes. Researchers and practitioners in physics, meteorology, statistics, insurance and finance have rediscovered the simplicity of L, vy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world.

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Barndorff-Nielsen, Ole E.

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Probability & Statistics