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Lévy processes

Author: Jean Bertoin
Publisher: Cambridge ; New York : Cambridge University Press, 1996.
Series: Cambridge tracts in mathematics, 121.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
This is an up-to-date and comprehensive account of the theory of Levy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jean Bertoin
ISBN: 0521562430 9780521562430 0521646324 9780521646321
OCLC Number: 33970050
Description: x, 265 pages ; 24 cm.
Contents: I. Levy Processes as Markov Processes --
II. Elements of Potential Theory --
III. Subordinators --
IV. Local Time and Excursions of a Markov Process --
V. Local Times of a Levy Process --
VI. Fluctuation Theory --
VII. Levy Processes with no Positive Jumps --
VIII. Stable Processes and the Scaling Property.
Series Title: Cambridge tracts in mathematics, 121.
Responsibility: Jean Bertoin.
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Abstract:

This 1996 book is a comprehensive account of the theory of Levy processes; aimed at probability theorists.  Read more...

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'At last! For many years, the stochastic community has awaited the publication of a textbook on Levy processes ... Here it is ... The author presents us with a thorough, concise and very readable Read more...

 
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