Lévy Processes and Infinitely Divisible Di...

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Beschreibung

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.

Über den Autor

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

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2015
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
ISBN-13:	9781107656499
ISBN-10:	1107656494
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Sato, Ken-Iti
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 29 mm
Von/Mit:	Ken-Iti Sato
Erscheinungsdatum:	26.08.2015
Gewicht:	0,767 kg