Dr. Robert Knobloch
Lévy Processes
Lecture
We 14-16 in SR 5, building E2 4Tutorial
Th 10-11 in SR 7, building E2 4
Content
The goal of this course is to intoduce Lévy processes and to study some crucial properties of these processes. The class of Lévy processes contains important examples of stochastic processes such as Brownian motion and Poisson processes. In this course we will introduce the representation of Lévy processes via the Lévy-Khintchine formula und the Lévy-Itô deccomposition and later on we shall deal with further interesting probabilitic questions. The theory of Lévy processes is challenging from a mathematical point view, but also has rich applications in various areas such as biology, financial and insurance mathematics as well as physics and telecommunications.
Literature:
- D. Applebaum: Lévy Processes and Stochastic Calculus, Cambridge University Press (second edition), 2009
- O. E. Barndorff-Nielsen, T. Mikosch, S. I. Resnick (editors): Lévy Processes - Theory and Applications, Birkhäuser, 2001
- J. Bertoin: Lévy Processes, Cambridge University Press, 1996
- R. Cont, P. Tankov: Financial Modelling with Jump Processes, Chapman & Hall, 2004
- A. E. Kyprianou: Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer 2006
- K.-i. Sato: Lévy Processes and Infinitely Divisible Distributions, Cambridge University Press, 1999
Last modified on 02 October 2012 by Robert Knobloch
