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Lévy Processes (Cambridge Tracts in Mathematics)
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Lévy Processes (Cambridge Tracts in Mathematics) Paperback - 1998

by Jean Bertoin


From the publisher

This is an up-to-date and comprehensive account of the theory of Lvy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Lvy processes and in fluctuation theory. Lvy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

First line

In this section, we set down notation which will be used throughout the text.

Details

  • Title Lévy Processes (Cambridge Tracts in Mathematics)
  • Author Jean Bertoin
  • Binding Paperback
  • Pages New ed 228 x 153mm 276 pages
  • Publisher Cambridge University Press, Cambridge - New York
  • Date December 28, 1998
  • Features Bibliography, Glossary
  • ISBN 9780521646321
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Levy Processes
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Lévy Processes
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Lévy Processes (Cambridge Tracts in Mathematics, Series Number 121)
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Lévy Processes (Cambridge Tracts in Mathematics, Series Number 121)

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Lévy Processes (Cambridge Tracts in Mathematics)
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Lévy Processes (Cambridge Tracts in Mathematics)

by Bertoin, Jean

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