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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.Read more
- 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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- 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
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