LÚvy Matters I: Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance
Springer Science & Business Media, Sep 5, 2010 - Mathematics - 206 pages
Focusing on the breadth of the topic, this volume explores LÚvy 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.
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assume Borel Brownian Cetraro characteristic triplet Cl Remark compact completely monotone condition continuous function convergence copula CSBP define deﬁned deﬁnition denote discretization divisible distributions domain Editors entails f is monotone Feller processes ﬁrst Fourier fractional integrals G ID Hausdorff measure height process Hence improper stochastic integrals inﬁnitely divisible jl G jump measure L┤evy processes Lemma Levy measure limsup locally finite measures Maejima market model Markov processes Martina Franca Math matrix measurable family measurable function metric spaces monotone of order notation numerical obtain packing measure parameter Probab Probabilit┤es problem proof of Theorem Proposition 1.5 R-tree radial decomposition random real tree Recall regular gauge function resp Saint-Flour satisfying Sato scaling property Section selfdecomposable distributions semimartingale Sobolev spaces solution stable trees stochastic integrals stochastic processes tail integrals Theorem 4.1 Theory unique variable order weak mean y-stable