Levy Processes by Jean Bertoin
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Levy Processes
By Jean Bertoin

Levy Processes

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Format: Paperback

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Levy Processes by Jean Bertoin

Book Description

This 1996 book is a comprehensive account of the theory of Levy 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 Levy processes and in fluctuation theory. Levy 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.

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Book Details

ISBN: 9780521646321
ISBN-10: 0521646324
Format: Paperback
(228mm x 152mm x 16mm)
Pages: 278
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 29-Oct-1998
Country of Publication: United Kingdom

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