Lévy theory and applied probability

Lévy theory
An example of particle filtering in a target tracking problem.
Source: S. Asmussen, P.W. Glynn: Stochastic Simulation, Springer, 2007.

Principal investigators

Søren Asmussen, Steen Thorbjørnsen

Project members

Lars N. Andersen, Ole E. Barndorf-Nielsen, Anders Rønn-Nielsen

Research partners

Focus Points

General Upsilon transformations and subordination of free Lévy processes, Lévy processes with two reflecting barriers, statistical inference for Lévy based models, heavy tails computer reliability.

Recent publications