Lévy Processes
Independent-increment processes, Poisson, jump diffusions.
Lévy Processes. Independent-increment processes, Poisson, jump diffusions.
Foundations and canonical references
The standard treatments of lévy processes approach the subject from complementary angles. Applebaum, Lévy Processes and Stochastic Calculus (2009) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Open methodological questions for lévy processes include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 2009Lévy Processes and Stochastic Calculusapplebaum-2009
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