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Some elements on Lévy processes


Bertoin, Jean (2001). Some elements on Lévy processes. In: Shanbhag, D N; Rao, C R. Stochastic processes: theory and methods. Amsterdam: Elsevier, 117-144.

Abstract

This chapter provides a brief survey of some of the most salient features of the theory. It presents the fundamental aspects of Levy processes (Markov property and infinite divisibility) and describes their probabilistic structure. The chapter focuses on various techniques used to derive the distribution of certain important functional of Levy processes. The chapter concludes with some remarkable sample path properties such as transience or recurrence, information on the rate of growth, and certain geometric properties of the range.

Abstract

This chapter provides a brief survey of some of the most salient features of the theory. It presents the fundamental aspects of Levy processes (Markov property and infinite divisibility) and describes their probabilistic structure. The chapter focuses on various techniques used to derive the distribution of certain important functional of Levy processes. The chapter concludes with some remarkable sample path properties such as transience or recurrence, information on the rate of growth, and certain geometric properties of the range.

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Additional indexing

Item Type:Book Section, not refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2001
Deposited On:24 Jul 2013 08:32
Last Modified:07 Dec 2017 21:43
Publisher:Elsevier
Series Name:Handbook of Statistics
Number:19
ISSN:0169-7161
ISBN:0-444-50014-6
Publisher DOI:https://doi.org/10.1016/S0169-7161(01)19007-3
Related URLs:http://www.zentralblatt-math.org/zbmath/search/?q=an%3A0982.60042

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