
The Library
Markov chain approximations to, and some fluctuation results for, Lévy processes
Tools
Vidmar, Matija (2014) Markov chain approximations to, and some fluctuation results for, Lévy processes. PhD thesis, University of Warwick.
|
PDF
WRAP_THESIS_Vidmar_2014.pdf - Submitted Version - Requires a PDF viewer. Download (1295Kb) | Preview |
Official URL: http://webcat.warwick.ac.uk/record=b2749483~S1
Abstract
We introduce, and analyze in terms of convergence rates of transition kernels, a continuous-time Markov chain approximation to Lévy processes. A full fluctuation theory for what are right-continuous random walks embedded into continuous-time as compound Poisson processes, is provided. These results are applied to obtaining a general algorithm for the calculation of the scale functions of a spectrally negative Lévy process. In a related result, the class of Lévy processes having non-random overshoots is precisely characterized.
Item Type: | Thesis (PhD) | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Library of Congress Subject Headings (LCSH): | Lévy processes, Markov processes | ||||
Official Date: | October 2014 | ||||
Dates: |
|
||||
Institution: | University of Warwick | ||||
Theses Department: | Department of Statistics | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Mijatović, Aleksandar ; Jacka, Saul D. | ||||
Sponsors: | Javni Sklad Republike Slovenije za Razvoj Kadrov in Štipendije [Slovene Human Resources and Scholarship Fund] (11010-543/2011) | ||||
Extent: | v, 129 leaves | ||||
Language: | eng |
Request changes or add full text files to a record
Repository staff actions (login required)
![]() |
View Item |
Downloads
Downloads per month over past year