[图书][B] Fluctuations of Lévy processes with applications: Introductory Lectures
AE Kyprianou - 2014 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[图书][B] Introductory lectures on fluctuations of Lévy processes with applications
AE Kyprianou - 2006 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
Meromorphic Lévy processes and their fluctuation identities
The last couple of years has seen a remarkable number of new, explicit examples of the
Wiener–Hopf factorization for Lévy processes where previously there had been very few. We …
Wiener–Hopf factorization for Lévy processes where previously there had been very few. We …
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes
A Kuznetsov - 2010 - projecteuclid.org
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain
Wiener–Hopf factors and distribution of the supremum process in semi-explicit form. This …
Wiener–Hopf factors and distribution of the supremum process in semi-explicit form. This …
A Wiener–Hopf Monte Carlo simulation technique for Lévy processes
We develop a completely new and straightforward method for simulating the joint law of the
position and running maximum at a fixed time of a general Lévy process with a view to …
position and running maximum at a fixed time of a general Lévy process with a view to …
Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
A Kuznetsov, JC Pardo - Acta Applicandae Mathematicae, 2013 - Springer
We study the distribution and various properties of exponential functionals of
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …
Coupling property and gradient estimates of Lévy processes via the symbol
RL Schilling, P Sztonyk, J Wang - 2012 - projecteuclid.org
We derive explicitly the coupling property for the transition semigroup of a Lévy process and
gradient estimates for the associated semigroup of transition operators. This is based on the …
gradient estimates for the associated semigroup of transition operators. This is based on the …
The Lamperti representation of real-valued self-similar Markov processes
In this paper, we obtain a Lamperti type representation for real-valued self-similar Markov
processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar …
processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar …
Lévy matters. VI
F Kühn - Lecture Notes in Mathematics, 2017 - Springer
Due to the increasing power of modern computers, it has become ever more popular to use
sophisticated models to describe the irregular behaviour of real life phenomena. Nowadays …
sophisticated models to describe the irregular behaviour of real life phenomena. Nowadays …
Hitting distributions of -stable processes via path censoring and self-similarity
We consider two first passage problems for stable processes, not necessarily symmetric, in
one dimension. We make use of a novel method of path censoring in order to deduce …
one dimension. We make use of a novel method of path censoring in order to deduce …