R440, Astronomy-Mathematics Building, NTU
(台灣大學天文數學館 440室)
Levy Processes: Constructions and Properties
Narn-Rueih Shieh (National Taiwan University)
Abstract:
We begin with brief reviews on Brownian Motions and Poisson processes, and then discuss the necessity of more general models for micro-motions with jumps. We shall present the Levy-Khintchine formula as the cornerstone of Levy Processes Theory. The ultimate goal is the theory and the applications of 
-stable Levy processes (both the usual and the relativistic versions). The material is adapted mainly from D. Applebaum: Levy Processes and Stochastic Calculus, CUP 2004.
