Lévy Processes and Infinitely Divisible Distributions

L vy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book provides the reader with comprehensive basic knowledge of L vy processes, and at the same time introduces stochastic processes in general. No specialist knowledge is assumed and proofs and exercises are given in detail. The author systematically studies stable and semi-stable processes and emphasizes the correspondence between L vy processes and infinitely divisible distributions. All serious students of random phenomena will benefit from this volume.

Author: Ken-Iti Sato
Publisher: Cambridge University Press
Published: 11/11/1999
Pages: 500
Binding Type: Hardcover
Weight: 2.00lbs
Size: 9.00h x 6.20w x 1.50d
ISBN: 9780521553025

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