LEVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS (Relié)

  • Cambridge University Press

  • Paru le : 01/01/1999
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Lévy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This... > Lire la suite
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Lévy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book is intended to provide the reader with comprehensive basic knowledge of Lévy processes, and at the same time serve as an introduction to stochastic processes in general. No specialist knowledge is assumed and proofs are given in detail. Systematic study is made of stable and semi-stable processes, and the author gives special emphasis to the correspondence between Lévy processes and infinitely divisible distributions. All serious students of random phenomena will find that this book has much to offer.
    • Basic examples
    • Characterization and existence
    • Stable processes and their extensions
    • The Lévy-Itô decomposition of sample functions
    • Distributional properties of Lévy processes
    • Subordination and density transformation
    • Recurrence and transience
    • Potential theory for Lévy processes
    • Wiener-Hopf factorizations
    • More distributional properties.

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