Lévy Matters VI : Lévy-Type Processes: Moments, Construction and Heat Kernel Estimates / by Franziska Kühn.

Format:

Book

Author/Creator:

Kühn, Franziska., Author.

Series:

Lévy Matters, A Subseries on Lévy Processes, 2190-6637 ; 2187

Language:

English

Subjects (All):

Probabilities.

Differential equations, Partial.

Probability Theory and Stochastic Processes.

Partial Differential Equations.

Local Subjects:

Probability Theory and Stochastic Processes.

Partial Differential Equations.

Physical Description:

1 online resource (XXIII, 245 p. 39 illus., 1 illus. in color.)

Edition:

1st ed. 2017.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2017.

Summary:

Presenting some recent results on the construction and the moments of Lévy-type processes, the focus of this volume is on a new existence theorem, which is proved using a parametrix construction. Applications range from heat kernel estimates for a class of Lévy-type processes to existence and uniqueness theorems for Lévy-driven stochastic differential equations with Hölder continuous coefficients. Moreover, necessary and sufficient conditions for the existence of moments of Lévy-type processes are studied and some estimates on moments are derived. Lévy-type processes behave locally like Lévy processes but, in contrast to Lévy processes, they are not homogeneous in space. Typical examples are processes with varying index of stability and solutions of Lévy-driven stochastic differential equations. This is the sixth 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 applicati ons 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.

Notes:

Includes bibliographical references and index.

ISBN:

3-319-60888-6