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Lévy Matters VI: Lévy-Type Processes: Moments, Construction and Heat Kernel Estimates de Franziska Kühn

Lévy Matters VI: Lévy-Type Processes: Moments, Construction and Heat Kernel Estimates: Lecture Notes in Mathematics, cartea 2187

Autor Franziska Kühn
en Limba Engleză Paperback – 14 oct 2017
Presenting some recent results on the construction and the moments of Lévy-type processes, the focus of this volume is on a new existence theorem, which is proved using a parametrix construction. Applications range from heat kernel estimates for a class of Lévy-type processes to existence and uniqueness theorems for Lévy-driven stochastic differential equations with Hölder continuous coefficients. Moreover, necessary and sufficient conditions for the existence of moments of Lévy-type processes are studied and some estimates on moments are derived. Lévy-type processes behave locally like Lévy processes but, in contrast to Lévy processes, they are not homogeneous in space. Typical examples are processes with varying index of stability and solutions of Lévy-driven stochastic differential equations.

This is the sixth 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 applicationsof Lévy processes and pays tribute to the state of the art of this rapidly evolving subject, with special emphasis on the non-Brownian world.
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Specificații

ISBN-13: 9783319608877
ISBN-10: 3319608878
Pagini: 230
Ilustrații: XXIII, 245 p. 39 illus., 1 illus. in color.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.39 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Seriile Lecture Notes in Mathematics, Lévy Matters

Locul publicării:Cham, Switzerland

Cuprins

Basics.- Moments of Levy-type processes.- Parametrix construction.- Parametrix construction: proofs.- Applications.- Appendix.

Textul de pe ultima copertă

Presenting some recent results on the construction and the moments of Lévy-type processes, the focus of this volume is on a new existence theorem, which is proved using a parametrix construction. Applications range from heat kernel estimates for a class of Lévy-type processes to existence and uniqueness theorems for Lévy-driven stochastic differential equations with Hölder continuous coefficients. Moreover, necessary and sufficient conditions for the existence of moments of Lévy-type processes are studied and some estimates on moments are derived. Lévy-type processes behave locally like Lévy processes but, in contrast to Lévy processes, they are not homogeneous in space. Typical examples are processes with varying index of stability and solutions of Lévy-driven stochastic differential equations.

This is the sixth 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 applicati
ons 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.

Caracteristici

All results are illustrated with numerous applications Numerous examples of Lévy-type processes offer new possibilities to model irregular phenomena Detailed explanations help the reader to get a better understanding of Lévy-type processes