Cambridge Tracts in Mathematics


Author: Jean Bertoin
Publisher: Cambridge University Press
ISBN: 9780521646321
Category: Mathematics
Page: 266
View: 2915
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This 1996 book is a comprehensive account of the theory of Lévy processes; aimed at probability theorists.

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: 7087
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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.

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: 1717
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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.

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: 7085
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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.

Lévy Processes in Lie Groups


Author: Ming Liao
Publisher: Cambridge University Press
ISBN: 9780521836531
Category: Mathematics
Page: 266
View: 1489
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Up-to-the minute research on important stochastic processes.

Mathematical Reviews


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Mathematics
Page: N.A
View: 2956
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Encyclopedia of Actuarial Science: E-N


Author: Bjørn Sundt
Publisher: N.A
ISBN: N.A
Category: Insurance
Page: 1842
View: 881
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The Journal of Derivatives


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Futures
Page: N.A
View: 8504
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SIAM Journal on Control and Optimization


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Automatic control
Page: N.A
View: 8564
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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: 6018
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ASTIN Bulletin


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Insurance
Page: N.A
View: 4506
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Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion


Author: Horst Osswald
Publisher: Cambridge University Press
ISBN: 1107016142
Category: Mathematics
Page: 407
View: 5841
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After functional, measure and stochastic analysis prerequisites, the author covers chaos decomposition, Skorohod integral processes, Malliavin derivative and Girsanov transformations.

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: 3885
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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.

Differential and Integral Equations


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Differential equations
Page: N.A
View: 6636
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A Functional LIL for D-dimensional Alpha-stable Processes

Invariance for Lévy- and Other Weakly Convergent Processes
Author: Joshua D. Rushton
Publisher: N.A
ISBN: N.A
Category:
Page: 82
View: 6664
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The Lévy Laplacian


Author: M. N. Feller
Publisher: Cambridge University Press
ISBN: 9781139447966
Category: Mathematics
Page: N.A
View: 3929
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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.

Probability on Real Lie Algebras


Author: Uwe Franz,Nicolas Privault
Publisher: Cambridge University Press
ISBN: 110712865X
Category: Mathematics
Page: 302
View: 3531
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This monograph is a progressive introduction to non-commutativity in probability theory, summarizing and synthesizing recent results about classical and quantum stochastic processes on Lie algebras. In the early chapters, focus is placed on concrete examples of the links between algebraic relations and the moments of probability distributions. The subsequent chapters are more advanced and deal with Wigner densities for non-commutative couples of random variables, non-commutative stochastic processes with independent increments (quantum Lévy processes), and the quantum Malliavin calculus. This book will appeal to advanced undergraduate and graduate students interested in the relations between algebra, probability, and quantum theory. It also addresses a more advanced audience by covering other topics related to non-commutativity in stochastic calculus, Lévy processes, and the Malliavin calculus.

Internationale Mathematische Nachrichten


Author: N.A
Publisher: N.A
ISBN: N.A
Category: Mathematics
Page: N.A
View: 1439
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