Fluctuation Theory for Lévy Processes

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Fluctuation Theory for Lévy Processes is written by Ronald A. Doney and published by Springer. It's available with International Standard Book Number or ISBN identification 3540485112 (ISBN 10) and 9783540485117 (ISBN 13).

Lévy processes, that is, processes in continuous time with stationary and independent increments, form a flexible class of models, which have been applied to the study of storage processes, insurance risk, queues, turbulence, laser cooling, and of course finance, where they include particularly important examples having "heavy tails." Their sample path behaviour poses a variety of challenging and fascinating problems, which are addressed in detail.