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Stable Levy Processes via Lamperti-Type Representations Andreas E. Kyprianou (University of Bath)

Stable Levy Processes via Lamperti-Type Representations By Andreas E. Kyprianou (University of Bath)

Stable Levy Processes via Lamperti-Type Representations by Andreas E. Kyprianou (University of Bath)


Summary

This completely new mathematical treatment, geared toward graduate students and researchers, systemically covers the theory of Stable Levy processes, which serve as a key building block to many other stochastic models prevalent in biology, physics, economics and engineering.

Stable Levy Processes via Lamperti-Type Representations Summary

Stable Levy Processes via Lamperti-Type Representations by Andreas E. Kyprianou (University of Bath)

Stable Levy processes lie at the intersection of Levy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Levy processes in one and higher dimensions. Written for graduate students and researchers in the field, this book systemically establishes many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material. Topics explored include first hitting laws for a variety of sets, path conditionings, law-preserving path transformations, the distribution of extremal points, growth envelopes and winding behaviour.

Stable Levy Processes via Lamperti-Type Representations Reviews

'This treatise takes readers on a superb journey through the fascinating worlds of stable Levy processes and of a rich variety of further naturally related random processes. Andreas Kyprianou and Juan Carlos Pardo masterfully deploy an arsenal of techniques, which are already interesting on their own right, to reveal many classical or more recent high level results on the distributions of functionals and on the path behaviours stable processes. It is indeed remarkable that their methods lead to so many explicit formulas, some amazingly simple, some more complex. The authors should be praised for making accessible as a coherent whole a vast literature that has been developed over several decades, including the latest developments.' Jean Bertoin, University of Zurich

About Andreas E. Kyprianou (University of Bath)

Andreas E. Kyprianou was educated at the University of Oxford and University of Sheffield and is currently a professor of mathematics at the University of Bath. He has spent over 25 years working on the theory and application of path-discontinuous stochastic processes and has over 130 publications, including a celebrated graduate textbook on Levy processes. During his time in Bath, he co-founded and directed theProb-L@B (Probability Laboratory at Bath), was PI for a multi-million-pound EPSRC Centre for Doctoral Training, and is currently the Director of the Bath Institute for Mathematical Innovation. Juan Carlos Pardo is a full professor at the department of Probability and Statistics at Centro de Investigacion en Matematicas (CIMAT). He was educated at the Universidad Nacional Autonoma de Mexico (UNAM) and Universite de Paris VI (Sorbonne Universite). He has spent over 13 years working on the theory and application of path-discontinuous stochastic processes and has more than 50 publications in these areas. During the academic year 2018-2019, he held the David Parkin visiting professorship at the University of Bath.

Table of Contents

1. Stable distributions; 2. Levy processes; 3. Stable processes; 4. Hypergeometric Levy processes; 5. Positive self-similar Markov processes; 6. Spatial fluctuations in one dimension; 7. DoneyKuznetsov factorisation and the maximum; 8. Asymptotic behaviour for stable processes; 9. Envelopes of positive self-similar Markov processes; 10. Asymptotic behaviour for path transformations; 11. Markov additive and self-similar Markov processes; 12. Stable processes as self-similar Markov processes; 13. Radial reflection and the deep factorisation; 14. Spatial fluctuations and the unit sphere; 15. Applications of radial excursion theory; 16. Windings and up-crossings of stable processes; Appendix.

Additional information

NPB9781108480291
9781108480291
1108480292
Stable Levy Processes via Lamperti-Type Representations by Andreas E. Kyprianou (University of Bath)
New
Hardback
Cambridge University Press
2022-04-07
484
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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