ISBN-10:
1107656494
ISBN-13:
9781107656499
Pub. Date:
11/30/2013
Publisher:
Cambridge University Press
Levy Processes and Infinitely Divisible Distributions / Edition 2

Levy Processes and Infinitely Divisible Distributions / Edition 2

by Ken-iti SatoKen-iti Sato

Paperback

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Overview

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.

Product Details

ISBN-13: 9781107656499
Publisher: Cambridge University Press
Publication date: 11/30/2013
Series: Cambridge Studies in Advanced Mathematics Series , #68
Edition description: Revised
Pages: 534
Product dimensions: 7.40(w) x 11.00(h) x 1.50(d)

About the Author

Ken-iti Sato is Professor Emeritus at Nagoya University, Japan.

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; Supplement; Solutions to exercises; References and author index; Subject index.

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