Introductory Lectures on Fluctuations of Lévy Processes with Applications (eBook, PDF)

Introductory Lectures on Fluctuations of Lévy Processes with Applications (eBook, PDF)

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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 mathematical significance is justified by their application in many areas of classical and modern stochastic models including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance and continuous-state branching processes.This text book forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. ...

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