Lévy-type processes : moments, construction and heat kernel estimates

Author(s)

• Kühn, Franziska

Bibliographic Information

Lévy-type processes : moments, construction and heat kernel estimates

Franziska Kühn

（Lecture notes in mathematics, 2187 . Lévy Matters ; 6）

Springer, c2017

Other Title

Lévy Matters : a subseries on Lévy processes

Lévy Matters VI

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"

Details

• NCID: BB24692894
• ISBN:
  • 9783319608877
• LCCN: 2017946840
• Country Code: sz
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Cham
• Pages/Volumes: xxiii, 243 p.
• Size: 24 cm
• Parent Bibliography ID:
  • BA00146586