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Lévy Processes and Infinitely Divisible Distributions

Lévy Processes and Infinitely Divisible Distributions


Part of Cambridge Studies in Advanced Mathematics

  • Date Published: November 1999
  • availability: Available
  • format: Hardback
  • isbn: 9780521553025

£ 135.00

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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.

    • Overflowing with exercises
    • Suitable as a text or for self-teaching
    • Unique treatment of important topic
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    Reviews & endorsements

    '… an important monograph which should find a place on the bookshelf of any practising probabilist.' David Applebaum, Mathematical Gazette

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    Product details

    • 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
    Subject index.

  • Resources for

    Lévy Processes and Infinitely Divisible Distributions

    Ken-iti Sato

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  • Author

    Ken-iti Sato, Nagoya University, Japan

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