Lévy Processes

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 2 in Mathematical Finance, 2019, pp 97-169 from Springer

Abstract: Abstract The continuous-time analogue of a random walk is called a Lévy process. One may also view Lévy processes as the stochastic counterpart of linear functions. Both viewpoints illustrate that these processes play a fundamental role.

Date: 2019
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DOI: 10.1007/978-3-030-26106-1_2

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