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Look Inside Lévy Processes and Infinitely Divisible Distributions

Lévy Processes and Infinitely Divisible Distributions

2nd Edition


Part of Cambridge Studies in Advanced Mathematics

  • Date Published: December 2013
  • availability: Available
  • format: Paperback
  • isbn: 9781107656499

£ 67.99

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About the Authors
  • 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.

    • Suitable as a course text or for self-study
    • Assumes no prior knowledge of stochastic processes
    • Contains over 160 exercises with solutions
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    Product details

    • Edition: 2nd Edition
    • Date Published: December 2013
    • format: Paperback
    • isbn: 9781107656499
    • length: 536 pages
    • dimensions: 226 x 152 x 30 mm
    • weight: 0.76kg
    • contains: 160 exercises
    • availability: Available
  • Table of Contents

    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
    Solutions to exercises
    References and author index
    Subject index.

  • Author

    Ken-iti Sato, Nagoya University, Japan
    Ken-iti Sato is Professor Emeritus at Nagoya University, Japan.

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