Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions

ISBN-13: 9783642314063 / Angielski / Miękka / 2012 / 186 str.

Serge Cohen;Alexey Kuznetsov;Andreas E. Kyprianou

Opis

This is the second volume in a subseries of the Lecture Notes in Mathematics called Levy Matters, whichis published at irregular intervals over the years. Each volume examines a number of key topics in the theory or applications of Levy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world.
The expository articles in this second volume cover two important topics in the area of Levy processes.
The first article by Serge Cohen reviews the most
important findings on fractional Levy fields to date in a self-contained piece, offering a theoretical introduction as well as possible applications and simulation techniques.
The second article, by Alexey Kuznetsov, Andreas E. Kyprianou, and Victor Rivero, presents an up to date account of the theory and application of scale functions for spectrally negative Levy processes, including an extensive numerical overview.

Spis treści

Fractional Lévy Fields.- The Theory of Scale Functions for Spectrally Negative Lévy Processes

Blurb

This is the second volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters, which is published at irregular intervals over the years. Each volume examines a number of key topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world.
 
The expository articles in this second volume cover two important topics in the area of Lévy processes.
The first article by Serge Cohen reviews the most
important findings on fractional Lévy fields to date in a self-contained piece, offering a theoretical introduction as well as possible applications and simulation techniques.
The second article, by Alexey Kuznetsov, Andreas E. Kyprianou, and Victor Rivero, presents an up to date account of the theory and application of scale functions for spectrally negative Lévy processes, including an extensive numerical overview.