This is an up-to-date and comprehensive account of the theory of L�vy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued L�vy processes and in fluctuation theory. L�vy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

Book Description

This is an up-to-date and comprehensive account of the theory of L�vy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin uses the interplay between the probabilistic structure and analytic tools to give a quick and concise treatment of the core theory, with the minimum of technical requirements. This will become the standard reference on the subject for all working probability theorists.'I think this is THE book on the subject, rather than A book on it. The text is clearly written, and very well organised. The subject-matter is mainstream probability, so will always be topical. A book on these lines has been long overdue.' Professor Nick Bingham

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