Lévy matters I: recent progress in theory and applications foundations, trees and numerical issues in finance

This is the first volume of a subseries of the Lecture Notes in Mathematics called Lévy Matters, which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area ofLévy processes. The first article by Ken-iti Sato characterizes extensions ofthe class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutionsto Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets. - Overthe past 10-15 years, we have seen a revival of general Lévy processes theoryas well as a burst of new applications - There is a lively and growing research community in this area - Expository articles help to disseminate important theoretical and

• ISBN: 978-3-642-14006-8
• Editorial: Springer
• Encuadernacion: Rústica
• Páginas: 195
• Fecha Publicación: 01/08/2010
• Nº Volúmenes: 1
• Idioma: Inglés