|
Levy Processes | 
| Creators: Ole E. Barndorff-nielsen, Thomas Mikosch, Sidney I. Resnick
Publisher: Birkhaeuser Boston
Category: Book
List Price: $109.00
Buy New: $69.95
You Save: $39.05 (36%)
New (14) Used (6) from $69.95
Avg. Customer Rating:  1 reviews
Sales Rank: 1293501
Media: Hardcover
Edition: 1
Number Of Items: 1
Pages: 415
Shipping Weight (lbs): 1.9
Dimensions (in): 10.1 x 7.2 x 1.2
ISBN: 081764167X
Dewey Decimal Number: 519.282
EAN: 9780817641672
ASIN: 081764167X
Publication Date: March 30, 2001
Availability: Usually ships in 1-2 business days
Shipping: Expedited shipping available
Shipping: International shipping available
Condition: Brand new.
|
| Also Available In:
|
| Similar Items:
|
| Editorial Reviews:
Product Description
Describes the state-of-the-art in Levy processes, which is at the cradle of modern theories of stochastic processes. Includes an extensive bibliography, thorough introductory preface, and surveys of recent developments in the field. For the researcher and graduate student in stochastic processes, physics, finance, or applied probability. DLC: Levy processes.
|
| Customer Reviews:
A good overview of Levy processes and their applications. May 5, 2002
18 out of 18 found this review helpful
This book is the outgrowth of the international conference on Levy processes and applications organized by Ole BARNDORFFF NIELSEN and others in Aarhus, Denmark a few years ago. However, it is not a classical conference proceedings volume and the chapters are written in clear, pedagogical format so the book is in fact a nice reference on theory and applications of Levy processes for anyone interested in this field. While it does not claim to be exhaustive and for many details and proofs the reader is refered to papers and treatises, it gives an interesting view of applications of Levy processes. brThe introductory chapters (parts I and II) are very well written and give the minimum mathematical knowledge necessary for understanding the following chapters.brPart IV ( applications in physics )is particularly weak:brwhile this is probably the field where Levy processes have been most widely used, the applications presented are at most anecdotical ; they do not include the most well known applications which include laser cooling and disordered systems.brThe chapter called Levy processes in the physical sciences,brwritten by a mathematical physicist and supposed to give an overview on this topic, only contains reference to work by the author of the chapter and gives the (wrong) impression that there is no other work in physics related to Levy processes.brThe part on applications to mathematical finance is nicely structured and contains new material on stochastic volatility models driven by Levy processes, due to Barndorff Nielsen and Shephard. brOverall, what is missing is perhaps some statistical material on inference methods and more material on numerical methods (the last part on this topic is too short.brHowever this book remains a very useful reference for researchers and graduate students interested in Levy processes.
|
|
|
| |
