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- Product code: 16770
- ISBN: 081764167X,
ISBN13: 9780817641672,
432 pages, hardback
Published by Birkhauser Verlag AG, 2001
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Description of Levy Processes |
In the past, representatives of the Levy 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 Levy processes. Researchers and practitioners in physics, meteorology, statistics, insurance and finance have rediscovered the simplicity of Levy processes and their enormous flexibility in modeling tails, dependence and path behavior. A Levy 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 Levy 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 Levy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Levy 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 ass of processes.
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