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.Read more
- Overflowing with exercises
- Suitable as a text or for self-teaching
- Unique treatment of important topic
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'… an important monograph which should find a place on the bookshelf of any practising probabilist.' David Applebaum, Mathematical Gazette
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- Date Published: November 1999
- format: Hardback
- isbn: 9780521553025
- length: 500 pages
- dimensions: 237 x 158 x 32 mm
- weight: 0.805kg
- availability: Available
Table of Contents
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
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