Wednesday, April 7, 2010

All you ever wanted to know about Levy processes

Well, maybe not all, but pretty close...

Alexey Kuznetsov gave the visitors seminar this week on the theme above. He showed how to efficiently compute the probability distributions for all sorts of functionals (minimum, maximum, first passage time, last maximum before a first passage time, time of the last maximum before a first passage time, etc...) for a class of Levy processes that he says is as natural as CGMY, but with much nicer analytic properties.

I knew of Alexey's  fascination with Levy processes (among other things) ever since his first postdoc at McMaster several years ago. He has become a world expert on computing the kind of functionals mentioned above, engaging in collaboration with probability heavy-weights such as Andreas E. Kyprianou. A pleasure to watch.

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