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Stable Lévy processes via Lamperti-type representations / Andreas E. Kyprianou, Juan Carlos Pardo.

By: Contributor(s): Material type: TextSeries: Institute of Mathematical Statistics monographsPublisher: Cambridge : Cambridge University Press, 2022Description: 1 online resource (xx, 463 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781108648318 (ebook)
Subject(s): Additional physical formats: Print version: : No titleDDC classification:
  • 519.2/82 23
LOC classification:
  • QA274.73 .K975 2022
Online resources: Summary: Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Lévy processes in one and higher dimensions. Written for graduate students and researchers in the field, this book systemically establishes many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material. Topics explored include first hitting laws for a variety of sets, path conditionings, law-preserving path transformations, the distribution of extremal points, growth envelopes and winding behaviour.
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eBooks Central Library Statistics & Probability Available EB1032

Title from publisher's bibliographic system (viewed on 23 Mar 2022).

Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Lévy processes in one and higher dimensions. Written for graduate students and researchers in the field, this book systemically establishes many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material. Topics explored include first hitting laws for a variety of sets, path conditionings, law-preserving path transformations, the distribution of extremal points, growth envelopes and winding behaviour.

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