Lévy Matters I. Vol.1 - A subseries on Levy processes

This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area of Lévy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets.

List of contents

Fractional Integrals and Extensions of Selfdecomposability.- Packing and Hausdorff Measures of Stable Trees.- Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing.

Summary

Focusing on the breadth of the topic, this volume explores Lévy processes and applications, and presents the state-of-the-art in this evolving area of study. These expository articles help to disseminate important theoretical and applied research to those studying the field.

Product details

• Authors: Thoma Duquesne, Thomas Duquesne, Ole Reichmann, Oleg Reichmann, Ken-iti Sato, Ken-iti et Sato, Christoph Schwab
• Assisted by: Ole E Barndorff-Nielsen (Editor), Ole E. Barndorff-Nielsen (Editor), Jea Bertoin (Editor), Jean Bertoin (Editor), Jean Jacod (Editor), Jean Jacod et al (Editor), Claudia Klüppelberg (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 30.07.2010
• EAN: 9783642140068
• ISBN: 978-3-642-14006-8
• No. of pages: 206
• Dimensions: 155 mm x 236 mm x 11 mm
• Weight: 392 g
• Illustrations: XIV, 206 p.
• Series: Lecture Notes in Mathematics; Lévy Matters; Lecture Notes in Mathematics; Lévy Matters
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Stochastik, B, Mathematics and Statistics, Probability Theory and Stochastic Processes, Probabilities, Stochastics, Probability Theory