Bøger af Andreas E. Kyprianou

The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the deficit at ruin.

This book examines the theory and application of Levy processes from the perspective of their path fluctuations. It covers the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour.