Lévy Processes and Infinitely Divisible Distributions

ISBN-13: 9781107656499 / Angielski / Miękka / 2013 / 536 str.

Ken-Iti Sato

Opis

Levy 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 Levy 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 Levy 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."

Spis treści

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.