Lévy Processes and Infinitely Divisible Distributions
Seiten
1999
Cambridge University Press (Verlag)
978-0-521-55302-5 (ISBN)
Cambridge University Press (Verlag)
978-0-521-55302-5 (ISBN)
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Lévy processes are perhaps the most basic class of stochastic processes with a continuous time parameter. This book provides the reader with comprehensive basic knowledge of Lévy processes, and at the same time serves as an introduction to stochastic processes in general.
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.
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.
Preface; Remarks on notation; 1. Basic examples; 2. Characterization and existence of Lévy and additive processes; 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; Solutions to exercises; References and author index; Subject index.
| Erscheint lt. Verlag | 11.11.1999 |
|---|---|
| Reihe/Serie | Cambridge Studies in Advanced Mathematics |
| Verlagsort | Cambridge |
| Sprache | englisch |
| Maße | 158 x 237 mm |
| Gewicht | 805 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Analysis |
| ISBN-10 | 0-521-55302-4 / 0521553024 |
| ISBN-13 | 978-0-521-55302-5 / 9780521553025 |
| Zustand | Neuware |
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