Lvy Processes by Jean Bertoin - 9780521646321

Lvy ProcessesAuthor(s): Jean Bertoin\nFormat: Paperback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521646321, 978-0521646321\nSynopsis\nThis 1996 book is a comprehensive account of the theory of Lvy 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 Lvy processes and in fluctuation theory. Lvy processes with no positive jumps receive special attention, as do stable proces.