Lévy matters V. Functionals of Lévy processes

DOI10.1007/978-3-319-23138-9MaRDI QIDQ495568zbMATH OpenOpenAlexFDO

Authors Lars Nørvang Andersen, Frank Aurzada, Peter W. Glynn, M. Maejima, Mats Pihlsgård, Thomas Simon, Søren Asmussen

Publication date 14 September 2015

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-23138-9

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Infinitely divisible distributions; stable distributions (60E07) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Cited in

(6)

• Lévy matters VI. Lévy-type processes: moments, construction and heat kernel estimates
• Martingales associated with functions of Markov and finite variation processes
• A localization of the L{\'e}vy operators arising in mathematical finances
• scientific article; zbMATH DE number 5654553 (Why is no real title available?)
• Brownian motion in trapping enclosures: steep potential wells, bistable wells and false bistability of induced Feynman–Kac (well) potentials
• Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games

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