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An Introduction to L\'evy and Feller Processes. Advanced Courses in Mathematics - CRM Barcelona 2014

Research paper by René L. Schilling

Indexed on: 01 Mar '16Published on: 01 Mar '16Published in: Mathematics - Probability



Abstract

These lecture notes are an extended version of my lectures on L\'evy and L\'evy-type (Feller) processes given at the "Second Barcelona Summer School on Stochastic Analysis" 2014 organized by the Centre de Recerca Matemaatica (CRM). The lectures are aimed at advanced graduate and PhD students. In order to read these notes, one should have sound knowledge of measure theoretic probability theory and some background in stochastic processes, as it is covered in my books "Measures, Integals and Martingales" (Cambridge University Press) and "Brownian Motion" (de Gruyter). My purpose in these lectures is to give an introduction to Levy processes, and to show how one can extend this approach to space inhomogeneous processes which behave locally like L\'evy processes: L\'evy-type or Feller processes.