Lévy Processes and Infinitely Divisible Distributions
Seiten
2013
|
2nd Revised edition
Cambridge University Press (Verlag)
978-1-107-65649-9 (ISBN)
Cambridge University Press (Verlag)
978-1-107-65649-9 (ISBN)
This successful text provides a comprehensive basic knowledge of Lévy processes and serves as an introduction to stochastic processes in general. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book's initial publication.
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. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book's initial publication.
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. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book's initial publication.
Ken-iti Sato is Professor Emeritus at Nagoya University, Japan.
Preface to the revised edition; Remarks on notation; 1. Basic examples; 2. Characterization and existence; 3. Stable processes and their extensions; 4. The Lévy–Itô decomposition of sample functions; 5. Distributional properties of Lévy processes; 6. Subordination and density transformation; 7. Recurrence and transience; 8. Potential theory for Lévy processes; 9. Wiener–Hopf factorizations; 10. More distributional properties; Supplement; Solutions to exercises; References and author index; Subject index.
| Erscheint lt. Verlag | 19.12.2013 |
|---|---|
| Reihe/Serie | Cambridge Studies in Advanced Mathematics |
| Zusatzinfo | Worked examples or Exercises |
| Verlagsort | Cambridge |
| Sprache | englisch |
| Maße | 152 x 226 mm |
| Gewicht | 760 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Analysis |
| ISBN-10 | 1-107-65649-4 / 1107656494 |
| ISBN-13 | 978-1-107-65649-9 / 9781107656499 |
| Zustand | Neuware |
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