close
1.

図書

図書
David Applebaum
出版情報: Cambridge : Cambridge University Press, 2004  xxiv, 384 p. ; 24 cm
シリーズ名: Cambridge studies in advanced mathematics ; 93
所蔵情報: loading…
目次情報: 続きを見る
Introduction / 1:
Levy processes / 2:
Martingales, stopping times and random measures / 3:
Markov processes, semigroups and generators / 4:
Stochastic integration / 5:
Exponential martingales, change of measure and financial applications / 6:
Stochastic differential equations / 7:
Notation
Bibliography
Index
Introduction / 1:
Levy processes / 2:
Martingales, stopping times and random measures / 3:
2.

図書

図書
Jean Bertoin
出版情報: Cambridge [Eng.] : Cambridge University Press, 1996  x, 265 p. ; 24 cm
シリーズ名: Cambridge tracts in mathematics ; 121
所蔵情報: loading…
3.

図書

図書
Ken-iti Sato
出版情報: New York : Cambridge University Press, 1999  xii, 486 p. ; 24 cm
シリーズ名: Cambridge studies in advanced mathematics ; 68
所蔵情報: loading…
目次情報: 続きを見る
Preface
Remarks on notation
Basic examples / 1:
Characterization and existence of Lèvy and additive processes / 2:
Stable processes and their extensions / 3:
The Lèvy-Ito decomposition of sample functions / 4:
Distributional properties of Lèvy processes / 5:
Subordination and density transformation / 6:
Recurrence and transience / 7:
Potential theory for Lèvy processes / 8:
Wiener-Hopf factorizations / 9:
More distributional properties / 10:
Solutions to exercises
References and author index
Subject index
Preface
Remarks on notation
Basic examples / 1:
4.

図書

図書
Ming Liao
出版情報: Cambridge : Cambridge University Press, 2004  x, 266 p. ; 24 cm
シリーズ名: Cambridge tracts in mathematics ; 162
所蔵情報: loading…
5.

図書

図書
Ole E. Barndorff-Nielsen, Thomas Mikosch, Sidney I. Resnick, editors
出版情報: Boston : Birkhäuser, c2001  x, 415 p. ; 26 cm
所蔵情報: loading…
目次情報: 続きを見る
Preface
A tutorial on L+¼vy processes / Sato, KI:
Basic results on L+¼vy processes
Distributional, pathwise and structural results / Carmona, P ; Petit, F ; Yor, MII:
Exponentials functionals of Levy processes / Doney, R
Fluctuation theory for Levy processes / Marcus, M.B ; Rosen, J
Gaussian processes and the local times of symmetric L+¼vy processes / Watanabe, T
Temporal change in distributional properties of L+¼vy processes
Extensions and generalisations of L+¼vy processes / III:
Applebaum, D.: L+¼vy processes in stochastic differential geometry / Jac ; Schilling, R.L
L+¼vy-type processes and pseudo-differential operators / Maejima, M
Semi-stable distributions
Applications in physics / Albeverio, S ; R++diger, B ; Wu, J-LIV:
Analytic and probabilistic aspects of L+¼vy processes and fields in quantum theory / Holevo, A.S
L+¼vy processes and continuous quantum measurements / Woyczynski, W.A
L+¼vy processes in the physical sciences / Bertoin, J
Some properties of Burgers turbulence with white or stable noise
Applications in finance / Barndorff-Nielsen, O.E ; Shepard, NV:
Modelling by L+¼vy processes for financial econometrics / Eberlein, E
Application of generalized hyperbolic L+¼vy motions to finance / Ma, J ; Protter, P ; Zhang, J
Explicit form and path regularity of martingale representation
Interpretations in terms of Brownian and Bessel meanders of the distribution of a subordinated perpetuity
Numerical and statistical aspects / Nolan, J.PVI:
Maximum likelihood estimation and diagnostics for stable distributions / Rosinski, J
Series representations of L+¼vy processes from the perspective of point processes
Preface
A tutorial on L+¼vy processes / Sato, KI:
Basic results on L+¼vy processes
文献の複写および貸借の依頼を行う
 文献複写・貸借依頼