401-4601-61L Lévy Processes
Semester | Autumn Semester 2011 |
Lecturers | P. Embrechts |
Periodicity | non-recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
---|---|---|---|---|---|---|---|
401-4601-61 V | Lévy Processes | 2 hrs |
| P. Embrechts |
Catalogue data
Abstract | Lévy processes as continuous-time analogue of random walks are one of the most basic and fundamental classes of stochastic processes including Brownian motion and Poisson processes. They have many applications in stochastic modeling as for instance in insurance, finance, queuing theory and telecommunication. This course gives a basic introduction into the theory of Lévy processes. |
Objective | The aim of this course is to have a basic knowledge of Lévy processes and infinitely divisble distributions. This includes the famous Lévy-Ito decomposition and path properties. In particular, subordinators and stable Lévy processes will be investigated in detail. |
Content | (1) Lévy processes and infinitely divisible distributions (2) Lévy-Ito decomposition (3) Distributional and path properties of Lévy processes (4) Some special Lévy processes (5) Subordinators |
Lecture notes | A script will not be available. |
Literature | - Applebaum, D. (2004): Lévy Processes and Stochastic Calculus, Cambridge University Press. - Bertoin, J. (1996): Lévy Processes, Cambridge University Press. - Kyprianou, A. E. (2006): Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer Verlag. - Sato, K. (1999): Lévy Processes and Infinitely Divisible Distributions, Cambridge University Press. |
Prerequisites / Notice | The course will be taught by Dr. Vicky Fasen, RiskLab, D-MATH, HG F 42.1. Prerequisites are familiarity with (measure-theoretic) probability theory as it is treated in the standard course "Wahrscheinlichkeitstheorie". |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | P. Embrechts |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | oral 20 minutes |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. | |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |