Lévy Matters

Lévy Matters III

Lévy-Type Processes: Construction, Approximation and Sample Path Properties

Authors: Böttcher, Björn, Schilling, René, Wang, Jian

  • Over the past 10-15 years, we have seen a revival of general Lévy process theory, as well as a burst of new applications. There is a lively and growing research community in this area
  • Expository articles help to disseminate important theoretical and applied research, especially to young researchers like PhD students and postdocs
  • The respective chapters will appeal to various target groups
  • Presents a unique blend of analysis and stochastics, with many findings appearing for the first time in a monograph
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About this book

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 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.

Table of contents (8 chapters)

  • A Primer on Feller Semigroups and Feller Processes

    Böttcher, Björn (et al.)

    Pages 1-30

  • Feller Generators and Symbols

    Böttcher, Björn (et al.)

    Pages 31-67

  • Construction of Feller Processes

    Böttcher, Björn (et al.)

    Pages 69-98

  • Transformations of Feller Processes

    Böttcher, Björn (et al.)

    Pages 99-110

  • Sample Path Properties

    Böttcher, Björn (et al.)

    Pages 111-140

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-319-02684-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA
  • ISBN 978-3-319-02683-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Lévy Matters III
Book Subtitle
Lévy-Type Processes: Construction, Approximation and Sample Path Properties
Authors
Series Title
Lévy Matters
Series Volume
2099
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-02684-8
DOI
10.1007/978-3-319-02684-8
Softcover ISBN
978-3-319-02683-1
Series ISSN
2190-6637
Edition Number
1
Number of Pages
XVIII, 199
Number of Illustrations and Tables
1 b/w illustrations
Topics