Stable Levy Processes via Lamperti-Type Representations

Kyprianou, Andreas E. (University of Bath)|Pardo, Juan Carlos

ISBN 10: 1108480292 / ISBN 13: 9781108480291

Published by Cambridge University Press, 2022

About this Item

This completely new mathematical treatment, geared toward graduate students and researchers, systemically covers the theory of Stable Levy processes, which serve as a key building block to many other stochastic models prevalent in biology, physics, economic.

Seller Inventory # 527151087

Bibliographic Details

• Title: Stable Levy Processes via Lamperti-Type Representations
• Publisher: Cambridge University Press
• Publication Date: 2022
• Language: English
• ISBN 10: 1108480292
• ISBN 13: 9781108480291
• Binding: Gebunden
• Condition: New

About this title

Synopsis

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many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material.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.

About the Authors

Andreas E. Kyprianou was educated at the University of Oxford and University of Sheffield and is currently a professor of mathematics at the University of Bath. He has spent over 25 years working on the theory and application of path-discontinuous stochastic processes and has over 130 publications, including a celebrated graduate textbook on Lévy processes. During his time in Bath, he co-founded and directed the Prob-L@B (Probability Laboratory at Bath), was PI for a multi-million-pound EPSRC Centre for Doctoral Training, and is currently the Director of the Bath Institute for Mathematical Innovation.

Juan Carlos Pardo is a full professor at the department of Probability and Statistics at Centro de Investigación en Matemáticas (CIMAT). He was educated at the Universidad Nacional Autónoma de México (UNAM) and Université de Paris VI (Sorbonne Université). He has spent over 13 years working on the theory and application of path-discontinuous stochastic processes and has more than 50 publications in these areas. During the academic year 2018-2019, he held the David Parkin visiting professorship at the University of Bath.