Lévy Matters III : Lévy-Type Processes: Construction, Approximation and Sample Path Properties / by Björn Böttcher, René Schilling, Jian Wang.

Format:

Book

Author/Creator:

Böttcher, Björn, author.

Schilling, René, 1965- author.

Wang, Jian, author.

Contributor:

SpringerLink (Online service)

Series:

Lévy Matters, A Subseries on Lévy Processes, 2190-6637 ; 2099.

Lévy Matters, A Subseries on Lévy Processes, 2190-6637 ; 2099

Language:

English

Subjects (All):

Distribution (Probability theory).

Mathematics.

Functional analysis.

Operator theory.

Probability Theory and Stochastic Processes.

Mathematics, general.

Functional Analysis.

Operator Theory.

Local Subjects:

Probability Theory and Stochastic Processes.

Mathematics, general.

Functional Analysis.

Operator Theory.

Physical Description:

1 online resource (XVIII, 199 pages 1 illustrations).

Contained In:

Springer eBooks

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2013.

System Details:

text file PDF

Summary:

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 the 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. 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.

Contents:

A Primer on Feller Semigroups and Feller Processes

Feller Generators and Symbols

Construction of Feller Processes

Transformations of Feller Processes

Sample Path Properties

Global Properties

Approximation

Open Problems

References

Index.

Other Format:

Printed edition:

ISBN:

9783319026848

Access Restriction:

Restricted for use by site license.