Lévy-type processes : moments, construction and heat kernel estimates
Author(s)
Bibliographic Information
Lévy-type processes : moments, construction and heat kernel estimates
（Lecture notes in mathematics, 2187 . Lévy Matters ; 6）
Springer, c2017
- Other Title
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Lévy Matters : a subseries on Lévy processes
Lévy Matters VI
Available at 36 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
L/N||LNM||2187200037683475
Note
"Bernoulli Society for Mathematical Statistics and Probability"--Cover
"The volumes in this subseries are published under the auspices of the Bernoulli Society"--P. [ii]
Includes bibliographical references (p. 235-240) and index
Description and Table of Contents
Description
Presenting some recent results on the construction and the moments of Levy-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 Levy-type processes to existence and uniqueness theorems for Levy-driven stochastic differential equations with Hoelder continuous coefficients. Moreover, necessary and sufficient conditions for the existence of moments of Levy-type processes are studied and some estimates on moments are derived. Levy-type processes behave locally like Levy processes but, in contrast to Levy processes, they are not homogeneous in space. Typical examples are processes with varying index of stability and solutions of Levy-driven stochastic differential equations.
This is the sixth volume in a subseries of the Lecture Notes in Mathematics called Levy Matters. Each volume describes a number of important topics in the theory or applications of Levy processes and pays tribute to the state of the art of this rapidly evolving subject, with special emphasis on the non-Brownian world.
Table of Contents
Basics.- Moments of Levy-type processes.- Parametrix construction.- Parametrix construction: proofs.- Applications.- Appendix.
by "Nielsen BookData"