BERTOIN LEVY PROCESSES PDF

Springer Professional. Back to the search result list. Table of Contents. Hint Swipe to navigate through the chapters of this book Close hint. Our review also includes the first extensive overview of how to work numerically with scale functions. We shall also touch on more general topics such as excursion theory and semi-martingale calculus.

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Springer Professional. Back to the search result list. Table of Contents. Hint Swipe to navigate through the chapters of this book Close hint. Our review also includes the first extensive overview of how to work numerically with scale functions. We shall also touch on more general topics such as excursion theory and semi-martingale calculus. However, wherever possible, we shall try to focus on key ideas taking a selective stance on the technical details.

Please log in to get access to this content Log in Register for free. To get access to this content you need the following product:. Springer Professional "Technik" Online-Abonnement. Springer Professional "Wirtschaft" Online-Abonnement. Abate, P. Valko, Multi-precision Laplace transform inversion. Abate, W. Whitt, The Fourier-series method for inverting transforms of probability distributions.

Queueing Syst. Whitt, A unified framework for numerically inverting Laplace transforms. Abate, G. Choudhury, W. Computational Probability Kluwer, Dordrecht, , pp. Albrecher, J-F. Renaud, X. Albrecher, F. Avram, D. Kortschak, On the efficient evaluation of ruin probabilities for completely monotone claim distributions.

Cambridge University Press, London, D. Cambridge University Press, London, Asmussen, F. Avram, M. Avram, A. Kyprianou, M. Avram, Z. Palmowski, M. Bailey, A fortran based multiprecision system. ACM Trans. Software 21, — D. Software 21 , — Bailey, P. Swarztrauber, The fractional Fourier transform and applications.

SIAM Rev. Berg, G. Bertoin, On the first exit time of a completely asymmetric stable process from a finite interval. Biffis, A. Biffis, M. Morales, On an extension of the Gerber-Shiu function to path-dependent penalties. Bingham, Fluctuation theory in continuous time.

Bingham, Continuous branching processes and spectral positivity. Bratiychuk, D. Caballero, A. Lambert, G. Uribe Bravo, Proof s of the Lamperti representation of continuous-state branching processes.

Chan, A. Fields , — T. Fields , — Chaumont, R. Chaumont, A. Kyprianou, J. Pardo, Some explicit identities associated with positive self-similar Markov processes. Chazal, A. Kyprianou, P. Preprint M. Preprint Cont, P. Donati-Martin, M. Yor, Further examples of explicit Krein representations of certain subordinators. Lecture Notes in Math.

Savov, Non differentiability and asymptotics for renewal densities of subordinators. Dube, F. Guillemin, R. Egami, K. PR] M. PR] Feller, An introduction to probability theory and its applications. Filon, On a quadrature formula for trigonometric integrals. Fosdick, A special case of the Filon quadrature formula.

Gaver, Observing stochastic processes and approximate transform inversion. Gerber, E. Shiu, On the time value of ruin. North Am. Actuarial J. Greenwood, J. Hawkes, On the potential theory of subordinators. Hawkes, Intersections of Markov random sets. Hubalek, A. Dalang, M. Dozzi, F. Progress in Probability, Birkhuser — Iserles, On the numerical quadrature of highly-oscillating integrals I: Fourier transforms.

IMA J. James, B. Roynette, M. Memoirs of the American Mathematical Society, No. Kingman, Markov transition probabilities. Completely monotonic functions. Knobloch, A. PR] R. Korolyuk, Boundary problems for a compound Poisson process. Korolyuk, On ruin problem for compound Poisson process. Korolyuk, Ju.

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