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Stable Lévy processes via Lamperti-...

Kyprianou, Andreas E.

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Stable Lévy processes via Lamperti-type representations

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stable Lévy processes via Lamperti-type representations/ Andreas E. Kyprianou, Juan Carlos Pardo.
作者:	Kyprianou, Andreas E.
其他作者:	Pardo, Juan Carlos.
出版者:	Cambridge :Cambridge University Press, : 2022.,
面頁冊數:	xx, 463 p. :ill., digital ;24 cm.
附註:	Title from publisher's bibliographic system (viewed on 23 Mar 2022).
標題:	Lévy processes. -
電子資源:	https://doi.org/10.1017/9781108648318
ISBN:	9781108648318

Stable Lévy processes via Lamperti-type representations
Kyprianou, Andreas E.

Stable Lévy processes via Lamperti-type representations[electronic resource] /Andreas E. Kyprianou, Juan Carlos Pardo. - Cambridge :Cambridge University Press,2022. - xx, 463 p. :ill., digital ;24 cm. - Institute of Mathematical Statistics monographs. - Institute of Mathematical Statistics monographs..

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many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material.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.

ISBN: 9781108648318Subjects--Topical Terms:

1783646
Lévy processes.

LC Class. No.: QA274.73 / .K975 2022

Dewey Class. No.: 519.282

Stable Lévy processes via Lamperti-type representations
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