An Introduction to Heavy-Tailed and Subexponential Distributions

1. Auflage 2011
ISBN: 978-1-4419-9472-1
Verlag: Springer

Buch, Englisch, 123 Seiten, Gewicht: 459 g

Reihe: Springer Series in Operations Research and Financial Engineering

This monograph provides a complete and comprehensive introduction to the theory of long-tailed and subexponential distributions in one dimension. New results are presented in a simple, coherent and systematic way. All the standard properties of such convolutions are then obtained as easy consequences of these results. The book focuses on more theoretical aspects. A discussion of where the areas of applications currently stand in included as is some preliminary mathematical material. Mathematical modelers (for e.g. in finance and environmental science) and statisticians will find this book useful.

Zielgruppe

Graduate

Autoren/Hrsg.

Foss, Sergey

Korshunov, Dmitry

Zachary, Stan

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Preface.- Introduction.- Heavy- and long-tailed distributions.- Subexponential distributions.- Densities and local probabilities.- Maximum of random walks.- References.- Index