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Böttcher, Björn / Wang, Jian et al. Lévy Matters III - Lévy-Type Processes: Construction, Approximation and Sample Path Properties. Springer International Publishing, 2014.
eng

Björn Böttcher / Jian Wang / René Schilling

Lévy Matters III

Lévy-Type Processes: Construction, Approximation and Sample Path Properties
  • Springer International Publishing
  • 2014
  • Taschenbuch
  • 220 Seiten
  • ISBN 9783319026831

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

Mehr Weniger
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.

in Kürze