Lvy processes and infinitely divisible distributions - Ken-iti Sato

Lvy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book is intended to provide the reader with comprehensive basic knowledge of Lvy processes, and at the same time serve as an introduction to stochastic processes in general. No specialist knowledge is assumed and proofs are given in detail. Systematic study is made of stable and semi-stable processes, and the author gives special emphasis to the correspondence between Lvy processes and infinitely divisible distributions. All serious students of random phenomena will find that this book has much to offer.