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Lévy Matters III
Lévy-Type Processes: Construction, Approximation and Sample Path Properties
Langbeschreibung
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 the 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.
Inhaltsverzeichnis
A Primer on Feller Semigroups and Feller Processes.- Feller Generators and Symbols.- Construction of Feller Processes.- Transformations of Feller Processes.- Sample Path Properties.- Global Properties.- Approximation.- Open Problems.- References.- Index.
ISBN-13:
9783319026848
Veröffentl:
2014
Seiten:
199
Autor:
Björn Böttcher
Serie:
2099, Lecture Notes in Mathematics Lévy Matters
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
48,14 €*
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