Format:
Online-Ressource (XVIII, 199 p. 1 illus, online resource)
ISBN:
9783319026848
Series Statement:
Lecture Notes in Mathematics 2099
Content:
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.
Content:
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. 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.
Note:
A Primer on Feller Semigroups and Feller ProcessesFeller Generators and Symbols -- Construction of Feller Processes -- Transformations of Feller Processes -- Sample Path Properties -- Global Properties -- Approximation -- Open Problems -- References -- Index.
Additional Edition:
ISBN 9783319026831
Additional Edition:
Erscheint auch als Druck-Ausgabe Böttcher, Björn Lévy matters ; 3: Lévy-type processes Cham : Springer, 2013 ISBN 9783319026831
Additional Edition:
Erscheint auch als Druck-Ausgabe Böttcher, Björn Lévy-type processes: construction, approximation and sample path properties Cham [u.a.] : Springer, 2013 ISBN 9783319026831
Language:
English
Subjects:
Mathematics
Keywords:
Stochastik
;
Lévy-Prozess
DOI:
10.1007/978-3-319-02684-8
URL:
Volltext
(lizenzpflichtig)
URL:
Volltext
(lizenzpflichtig)
Author information:
Böttcher, Björn
Author information:
Schilling, René L. 1969-
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