LÚvy Processes: Theory and Applications

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Ole E Barndorff-Nielsen, Thomas Mikosch, Sidney I. Resnick
Springer, Apr 1, 2001 - Business & Economics - 415 pages
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A LÚvy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the LÚvy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general LÚvy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of LÚvy processes and their enormous flexibility in modeling tails, dependence and path behavior.

This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch.

The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of LÚvy processes.

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Contents

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Copyright

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2nd maphysto Levy Conference
See moreover the recently published volume, from Birkhńuser, having also the title LÚvy Processes. Theory and Applications (Editors: oe Barndorff-Nielsen, ...
www.maphysto.dk/ oldpages/ events/ 2ndLevyConf2002/

Bibliography
Bibliography. [1] oe Barndorff-Nielsen, ôProbability and statistics; selfdecomposability, finance and. turbulenceö, Proc. Conference ôProbability towards ...
www.turpion.org/ php/ reference.phtml/ ref_rm701.pdf?journal_id=rm& paper_id=701& volume=59& issue=1& type=pdf

The estimation of the Barndorff-Nielsen and Shephard model from ...
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. Appl. Stochastic Models Bus. Ind. (2007). Published online in Wiley interscience ...
doi.wiley.com/ 10.1002/ asmb.702

Self-decomposability and LÚvy processes in free probability
In oe Barndorff-Nielsen, T. Mikosch and S. Resnick (eds), LÚvy Processes - Theory and Applications, pp. 283-318. Boston: Birkhńuser. ...
projecteuclid.org/ handle/ euclid.bj/ 1078779874

Publications and Talks
... densities and LÚvy densities, Proceedings of the 2nd maphysto Conference on LÚvy Processes: Theory and Applications, maphysto Miscellanea No. ...
www.fam.tuwien.ac.at/ ~fhubalek/ publications.html

JAN ROSINSKI
International Conference on LÚvy Processes: Theory and Applications, Aarhus,. Denmark, one hour talk. Workshop on Product Integrals and Pathwise Integration ...
www.math.utk.edu/ ~rosinski/ JR_cv.pdf

Analysis of filtering and smoothing algorithms for LÚvy-driven ...
In: Barndorff-Nielsen, oe, Mikosch, T., Resnick, si (Eds.), LÚvy Processes-Theory and Applications, Birkhauser, Boston, MA. Todorov, 2006. ...
portal.acm.org/ citation.cfm?id=1346350.1346447& coll=& dl=GUIDE& CFID=15151515& CFTOKEN=6184618

DOI: 10.1007/s00184-005-0371-6 Multiple testing has become a ...
maphysto Conference on LÚvy Processes: Theory and Applications, held at. the University of Aarhus, Denmark, 1999. The book is divided into six parts and ...
www.springerlink.com/ index/ W6K8618U55532762.pdf

Levy processes in free probability -- Barndorff-Nielsen and ...
[Abstract/Free Full Text]; Barndorff-Nielsen, oe, Mikosch, T. & Resnick, S., (2001) LÚvy ProcessesŚTheory and Applications (Birkhńuser, Boston). ...
www.pnas.org/ cgi/ content/ full/ 99/ 26/ 16576

index2000
Some Nuffield College economics preprints are available, in postscript, via the WWW on page http://www.nuffield.ox.ac.uk . Click here to get a list of the ...
www.nuffield.ox.ac.uk/ Economics/ papers/ 2000/ index2000.htm

About the author (2001)

Ole Barndorff-Nielsen is a Professor at the Department of Mathematical Sciences, University of Aarhus. He also holds positions as Scientific Director of MaPhySto and Deputy Scientific Director of MCAA

Resnick-Cornell University, Ithaca, NY

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