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

✍ Scribed by Franziska Kühn (auth.)

Publisher
Springer International Publishing
Year
2017
Tongue
English
Leaves
264
Series
Lévy Matters 2187
Edition
1
Category
Library
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✦ Synopsis

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 applications 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.

✦ Table of Contents

Front Matter ....Pages i-xxiii
Basics (Franziska Kühn)....Pages 1-29
Moments of Lévy-Type Processes (Franziska Kühn)....Pages 31-50
Parametrix Construction (Franziska Kühn)....Pages 51-65
Parametrix Construction: Proofs (Franziska Kühn)....Pages 67-165
Applications (Franziska Kühn)....Pages 167-214
Back Matter ....Pages 215-245

✦ Subjects

Probability Theory and Stochastic Processes

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