Introductory lectures on fluctuations of Lévy processes with applications.
This book is developed from a series of lectures given at Utrecht university in the Netherlands. It is written a rather informal, conversational style. It is not intended as a work of reference, but as a homage to the many applications of Lévy processes: renewal, queueing, storage, and risk theory. It follows that emphasis is on path properties. The book has the following chapters. 1. Lévy processes and applications, 2. The Lévy-Itô decomposition and path structure, 3. More distributional and path-related properties, 4. General storage problems and paths of bounded variation, 5. Subordinators at first passage and renewal measures, 6. The Wiener-Hopf factorization, 7. Lévy processes at first passage and insurance risk, 8. Exit problems for spectrally negative processes, 9. Applications to optimal stopping problems, 10. Continuous-state branching processes. Definitions of such notions as stopping time and \(\sigma\)-finite are sometimes given `on the fly'. This circumstance makes the text a bit crumbly. Not an easy book to teach out of; it would take good knowledge of the subject matter to make a suitable choice. Each chapter is followed by a set of exercises, which range from simple questions in analysis to deeper problems on stopping times. Solutions are given as a kind of appendix. All in all an interesting book. I have a few comments on the list of references. The classical book by Gnedenko and Kolmogorov is not mentioned, neither is the last major breakthrough in infinite divisibility by Lennart Bondesson. The somewhat out-dated thesis by the reviewer (1970) was better replaced by the recent book by Van Harn and himself from 2004, which also contains number of applications mentioned in the book under consideration.
- Asymptotic analysis of Lévy-driven tandem queues
- Some explicit identities associated with positive self-similar Markov processes
- Boundary Harnack principle for subordinate Brownian motions
- On an explicit Skorokhod embedding for spectrally negative Lévy processes
- The expected discounted penalty function under a risk model with stochastic income
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- The reconstructed tree in the lineage-based model of protracted speciation
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Uniform control of local times of spectrally positive stable processes
- Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates
- The dual risk model with dividends taken at arrival
- Optimality of multi-refraction control strategies in the dual model
- On the bail-out optimal dividend problem
- Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
- Stable laws for chaotic billiards with cusps at flat points
- Asymmetric non-Gaussian effects in a tumor growth model with immunization
- Cramér's estimate for the reflected process revisited
- On optimal periodic dividend strategies for Lévy risk processes
- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- Zooming in on a Lévy process at its supremum
- American options under periodic exercise opportunities
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- Complete discounted cash flow valuation
- On the refracted-reflected spectrally negative Lévy processes
- Occupation times of general Lévy processes
- Moments of discounted dividend payments in a risk model with randomized dividend-decision times
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Lowest priority waiting time distribution in an accumulating priority Lévy queue
- Change-point detection for Lévy processes
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Spatial central limit theorem for supercritical superprocesses
- Spectral analysis of stable processes on the positive half-line
- Williams decomposition for superprocesses
- On fair reinsurance premiums; capital injections in a perturbed risk model
- Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
- Small value probabilities for continuous state branching processes with immigration
- Uniform boundary Harnack principle for rotationally symmetric Lévy processes in general open sets
- Lévy systems and the time value of ruin for Markov additive processes
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- A multiple-curve HJM model of interbank risk
- Small and large time stability of the time taken for a Lévy process to cross curved boundaries
- \(\mathbb N\)-measure for continuous state branching processes and its application
- Parisian ruin probability for spectrally negative Lévy processes
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Turán inequalities and complete monotonicity for a class of entire functions
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Branching processes seen from their extinction time via path decompositions of reflected Lévy processes
- Discretization error for a two-sided reflected Lévy process
- First-passage time model driven by Lévy process for pricing CoCos
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Optimal dividends in the dual model under transaction costs
- Valuing equity-linked death benefits in jump diffusion models
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Conditional limit theorems for critical continuous-state branching processes
- Exponential ergodicity for general continuous-state nonlinear branching processes
- Maximal moments and uniform modulus of continuity for stable random fields
- Multiple yield curve modelling with CBI processes
- Brownian motion on stable looptrees
- Exact simulation of two-parameter Poisson-Dirichlet random variables
- The likelihood of mixed hitting times
- On scale functions for Lévy processes with negative phase-type jumps
- Three classes of decomposable distributions
- Two-sided optimal stopping for Lévy processes
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
- Liouville quantum gravity and the Brownian map II: geodesics and continuity of the embedding
- On Doney's striking factorization of the arc-sine law
- Some new classes and techniques in the theory of Bernstein functions
- A transformation for spectrally negative Lévy processes and applications
- Two continua of embedded regenerative sets
- Transition densities of spectrally positive Lévy processes
- Change-level detection for Lévy subordinators
- On capital allocation for a risk measure derived from ruin theory
- A note on Lévy subordinators in cones of fuzzy sets in Banach spaces
- Martingales associated with functions of Markov and finite variation processes
- Modeling and complexity of stochastic interacting Lévy type financial price dynamics
- General draw-down times for refracted spectrally negative Lévy processes
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries
- On the speed and spectrum of mean-field random walks among random conductances
- On lattice path counting and the random product representation, with applications to the E_r/M/1 queue and the M/E_r/1 queue
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- Bridges with random length: gamma case
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- Infinitesimal generators of semigroups with prescribed boundary fixed points
- Malliavin calculus for subordinated Lévy process
- Fractional diffusion limit for a kinetic equation with an interface
- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
- Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
- A drawdown reflected spectrally negative Lévy process
- Censored stable subordinators and fractional derivatives
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
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