Lévy Matters VI

Lévy-Type Processes: Moments, Construction and Heat Kernel Estimates
1. Auflage 2017
ISBN: 978-3-319-60887-7
Verlag: Springer International Publishing

Buch, Englisch, Band 2187, 245 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 4161 g

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Kühn, Franziska

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

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