2016/03/01 by René L. Schilling, Schilling, René L. · 2 citations
Economics, Econometrics and Finance · Mathematics · #60-01 #60-02 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · pdf · doi:10.48550/arxiv.1603.00251
openalex publication_date 2016/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
These lecture notes are an extended version of my lectures on L 'evy and\nL 'evy-type (Feller) processes given at the "Second Barcelona Summer School on\nStochastic Analysis" 2014 organized by the Centre de Recerca Matemaatica (CRM).\nThe lectures are aimed at advanced graduate and PhD students. In order to read\nthese notes, one should have sound knowledge of measure theoretic probability\ntheory and some background in stochastic processes, as it is covered in my\nbooks "Measures, Integals and Martingales" (Cambridge University Press) and\n"Brownian Motion" (de Gruyter).\n My purpose in these lectures is to give an introduction to Levy processes,\nand to show how one can extend this approach to space inhomogeneous processes\nwhich behave locally like L 'evy processes: L 'evy-type or Feller processes.\n These course notes will be published, together Davar Khoshnevisan's notes on\n"Invariance and Comparison Principles for Parabolic SPDEs" as "From L 'evy-Type\nProcesses to Parabolic SPDEs" by the CRM, Barcelona and Birk "auser, Cham 2017\n(ISBN: 978-3-319-34119-4). The arXiv-version and the published version may\ndiffer in layout, pagination and wording, but not in content\n