Lévy Processes
Lévy Processes
$96.99
USDThis is an up-to-date and comprehensive account of the theory of Lévy 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 Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Lévy processes and in fluctuation theory. Lévy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.
- First modern book on the subject
- Subject has many applications in applied areas
- Excellent prepublications reviews
Reviews & endorsements
"I think this is THE book on the subject, rather than A book on it. The text is clearly written, and very well organised. The subject-matter is mainstream probability, so will always be topical. A book on these lines has been long overdue..." Professor Nick Bingham
"This concise book promises to be the standard reference for students and researchers concerned with this field." Monatshefte fur Mathematik
Product details
December 1998Paperback
9780521646321
278 pages
229 × 152 × 16 mm
0.41kg
Available
Table of Contents
- Preliminaries
- 1. Lévy processes as Markov processes
- 2. Elements of potential theory
- 3. Subordinators
- 4. Local time and excursions of a Markov process
- 5. Local times of a Lévy process
- 6. Fluctuation theory
- 7. Lévy processes with no positive jumps
- 8. Stable processes and the scaling property
- Bibliography
- Glossary
- Index.
