Exit problems for Levy processes

Levy 进程的退出问题

• 批准号: 341233-2013
• 负责人: Kuznetsov, Alexey
• 金额: $ 1.38万
• 依托单位: York University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=527229
• 关键词: Exit; problems; Levy; processes

Imagine a particle that travels along the line in the following way: At each moment of time the particle decides randomly (and independently of the past) whether to jump to the left or to the right. Mathematicians would call this simple model a "discrete time random walk". A natural generalization of this model to continuous time would be called a "one-dimensional Levy process".

想象一个粒子以如下方式沿着直线运动：在每一时刻，粒子随机地（与过去无关）决定是向左还是向右跳。数学家称这个简单的模型为“离散时间随机漫步”。这个模型对连续时间的自然推广将被称为“一维Levy过程”。