Lévy processes and infinitely divisible distributions

書誌事項

Lévy processes and infinitely divisible distributions

Ken-iti Sato

(Cambridge studies in advanced mathematics, 68)

Cambridge University Press, 2013

Rev. ed.

  • : pbk.
タイトル別名

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注記

Originally published in Japanese as "Kahou Katei" by Kinokuniya, c1990

First published in English 1999

Includes bibliographical references (p. 481-512) and indexes

内容説明・目次

内容説明

Levy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book is intended to provide the reader with comprehensive basic knowledge of Levy processes, and at the same time serve as an introduction to stochastic processes in general. No specialist knowledge is assumed and proofs are given in detail. Systematic study is made of stable and semi-stable processes, and the author gives special emphasis to the correspondence between Levy processes and infinitely divisible distributions. All serious students of random phenomena will find that this book has much to offer. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book's initial publication.

目次

  • Preface to the revised edition
  • Remarks on notation
  • 1. Basic examples
  • 2. Characterization and existence
  • 3. Stable processes and their extensions
  • 4. The Levy-Ito decomposition of sample functions
  • 5. Distributional properties of Levy processes
  • 6. Subordination and density transformation
  • 7. Recurrence and transience
  • 8. Potential theory for Levy processes
  • 9. Wiener-Hopf factorizations
  • 10. More distributional properties
  • Supplement
  • Solutions to exercises
  • References and author index
  • Subject index.

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詳細情報

  • NII書誌ID(NCID)
    BB14652168
  • ISBN
    • 9781107656499
  • 出版国コード
    uk
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 原本言語コード
    jpn
  • 出版地
    Cambridge
  • ページ数/冊数
    xiv, 521 p.
  • 大きさ
    23 cm
  • 分類
  • 件名
  • 親書誌ID
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