Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions (repost)
Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions by Serge Cohen, Alexey Kuznetsov
English | 2013 | ISBN-10: 3642314066 | 198 pages | PDF | 3,8 MB
English | 2013 | ISBN-10: 3642314066 | 198 pages | PDF | 3,8 MB
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.