Overview

This 1996 book is a comprehensive account of the theory of Lévy 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 Lévy processes and in fluctuation theory. Lévy 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.
ISBN-13

9780521646321

ISBN-10

0521646324

Weight

0.90 Pounds

Dimensions

6.00 x 0.70 x 9.00 In

List Price

$96.99

Edition

1st Edition

Format

Paperback

Language

English

Pages

278 pages

Publisher

Cambridge University Press

Published On

1998-10-29


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