Lévy processes
By: Jean Bertoin.
Series: Cambridge tracts in mathematics ;; 121
Publisher: Cambridge University Press
Published: 1996
Place of publication: Cambridge; New York
Language: eng
Number of pages: 265
Subjects: Lévy processes.
Description: 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 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 Levy processes and in fluctuation theory.

Levy processes with no positive jumps receive special attention, as do stable processes.
Notes: Includes bibliographical references (p. [242]-259) and index.