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portada Lévy Matters Iii: Lévy-Type Processes: Construction, Approximation and Sample Path Properties (Lecture Notes in Mathematics)
Type
Physical Book
Publisher
Author
Year
2014
Language
English
Pages
199
Format
Paperback
ISBN13
9783319026831
Edition No.
2013
Categories

Lévy Matters Iii: Lévy-Type Processes: Construction, Approximation and Sample Path Properties (Lecture Notes in Mathematics)

Björn Böttcher; René Schilling; Jian Wang (Author) · Springer · Paperback

Lévy Matters Iii: Lévy-Type Processes: Construction, Approximation and Sample Path Properties (Lecture Notes in Mathematics) - Björn Böttcher; René Schilling; Jian Wang

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Synopsis "Lévy Matters Iii: Lévy-Type Processes: Construction, Approximation and Sample Path Properties (Lecture Notes in Mathematics)"

This is the third volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters. Each volume describes a number of important topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. This volume presents recent developments in the area of Lévy-type processes and more general stochastic processes that behave locally like a Lévy process. Although written in a survey style, quite a few results are extensions of known theorems, and others are completely new. The focus is on the symbol of a Lévy-type process: a non-random function which is a counterpart of the characteristic exponent of a Lévy process. The class of stochastic processes which can be associated with a symbol is characterized, various schemes constructing a stochastic process from a given symbol are discussed, and it is shown how one can use the symbol in order to describe the sample path properties of the underlying process. Lastly, the symbol is used to approximate and simulate Levy-type processes.

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