Stable Lévy Processes via Lamperti-Type Representations

Stable Lévy Processes via Lamperti-Type Representations
Author: Andreas E. Kyprianou
Publisher: Cambridge University Press
Total Pages: 486
Release: 2022-04-07
Genre: Mathematics
ISBN: 1108572162

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Stable Lévy processes lie at the intersection of Lévy 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 Lévy 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many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material.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.

A Lifetime of Excursions Through Random Walks and Lévy Processes

A Lifetime of Excursions Through Random Walks and Lévy Processes
Author: Loïc Chaumont
Publisher: Springer Nature
Total Pages: 354
Release: 2022-01-01
Genre: Mathematics
ISBN: 3030833097

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This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Lévy Matters III

Lévy Matters III
Author: Björn Böttcher
Publisher: Springer
Total Pages: 215
Release: 2014-01-16
Genre: Mathematics
ISBN: 3319026844

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This volume presents recent developments in the area of Lévy-type processes and more general stochastic processes that behave locally like a Lévy process. Although written in a survey style, quite a few results are extensions of known theorems, and others are completely new. The focus is on the symbol of a Lévy-type process: a non-random function which is a counterpart of the characteristic exponent of a Lévy process. The class of stochastic processes which can be associated with a symbol is characterized, various schemes constructing a stochastic process from a given symbol are discussed, and it is shown how one can use the symbol in order to describe the sample path properties of the underlying process. Lastly, the symbol is used to approximate and simulate Levy-type processes. This is the third volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters. Each volume describes a number of important 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.

Lévy Processes

Lévy Processes
Author: Jean Bertoin
Publisher: Cambridge University Press
Total Pages: 275
Release: 1996-07-13
Genre: Mathematics
ISBN: 9780521562430

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This is an up-to-date and comprehensive account of the theory of Lévy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Lévy processes and in fluctuation theory. Lévy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

Topics in Infinitely Divisible Distributions and Lévy Processes, Revised Edition

Topics in Infinitely Divisible Distributions and Lévy Processes, Revised Edition
Author: Alfonso Rocha-Arteaga
Publisher: Springer Nature
Total Pages: 135
Release: 2019-11-02
Genre: Mathematics
ISBN: 3030227006

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This book deals with topics in the area of Lévy processes and infinitely divisible distributions such as Ornstein-Uhlenbeck type processes, selfsimilar additive processes and multivariate subordination. These topics are developed around a decreasing chain of classes of distributions Lm, m = 0,1,...,∞, from the class L0 of selfdecomposable distributions to the class L∞ generated by stable distributions through convolution and convergence. The book is divided into five chapters. Chapter 1 studies basic properties of Lm classes needed for the subsequent chapters. Chapter 2 introduces Ornstein-Uhlenbeck type processes generated by a Lévy process through stochastic integrals based on Lévy processes. Necessary and sufficient conditions are given for a generating Lévy process so that the OU type process has a limit distribution of Lm class. Chapter 3 establishes the correspondence between selfsimilar additive processes and selfdecomposable distributions and makes a close inspection of the Lamperti transformation, which transforms selfsimilar additive processes and stationary type OU processes to each other. Chapter 4 studies multivariate subordination of a cone-parameter Lévy process by a cone-valued Lévy process. Finally, Chapter 5 studies strictly stable and Lm properties inherited by the subordinated process in multivariate subordination. In this revised edition, new material is included on advances in these topics. It is rewritten as self-contained as possible. Theorems, lemmas, propositions, examples and remarks were reorganized; some were deleted and others were newly added. The historical notes at the end of each chapter were enlarged. This book is addressed to graduate students and researchers in probability and mathematical statistics who are interested in learning more on Lévy processes and infinitely divisible distributions.

Fluctuations of Lévy Processes with Applications

Fluctuations of Lévy Processes with Applications
Author: Andreas E. Kyprianou
Publisher: Springer Science & Business Media
Total Pages: 461
Release: 2014-01-09
Genre: Mathematics
ISBN: 3642376320

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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 application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.

Lévy Matters II

Lévy Matters II
Author: Serge Cohen
Publisher: Springer
Total Pages: 200
Release: 2012-09-14
Genre: Mathematics
ISBN: 3642314074

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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.

Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum

Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum
Author: Svetlana Boyarchenko
Publisher:
Total Pages: 0
Release: 2022
Genre:
ISBN:

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Integral representations for expectations of functions of a stable L 'evy process $X$ and its supremum $ bar X$ are derived. As examples, cumulative probability distribution functions (cpdf) of $X_T, barX_T$, the joint cpdf of $X_T$ and $ barX_T$, and the expectation of $( be X_T- barX_T)_+$, $ be>1$, are considered, and efficient numerical procedures for cpdfs are developed. The most efficient numerical methods use the conformal acceleration technique and simplified trapezoid rule.

Lévy Processes and Stochastic Calculus

Lévy Processes and Stochastic Calculus
Author: David Applebaum
Publisher: Cambridge University Press
Total Pages: 461
Release: 2009-04-30
Genre: Mathematics
ISBN: 1139477986

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Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.

Mathematical Reviews

Mathematical Reviews
Author:
Publisher:
Total Pages: 1052
Release: 2006
Genre: Mathematics
ISBN:

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