Lévy Processes

Lévy Processes is a class of \(\mathbb{R}^d\)-valued stochastic processes \((X_t)_{t \ge 0}\) with \(X_0 = 0\) almost surely, characterized by independent and stationary increments and paths that are almost surely right-continuous with left limits (càdlàg), or equivalently, by continuity in probability.

3.8K

Publications

173.9K

Citations

Authors

1.6K

Institutions

Publications per year

2017–2026

524

Parents

Stochastic Processes

Children

Brownian Motion With JumpsCharacteristic ExponentsExit ProblemsFluctuation TheoryFractional Lévy ProcessesHitting TimesInfinitely Divisible DistributionsLévy - Itô DecompositionLévy - Khintchine FormulaLévy Measure

Publications

3.8K

Diffusion Processes and Their Sample Paths.

PALE, Kiyosi Itô, H. P. McKean · Journal of the American Statistical Association · 1996 · 1.7K citations

Engineering, Mathematics, Financial Economics +16

Fractional quantum mechanics and Lévy path integrals

Physics Letters A · 2000 · 1.6K citations · Full text

Natural Sciences, Mathematics, Physics +12

Convergence of Random Processes and Limit Theorems in Probability Theory

Yu. V. Prokhorov · Theory of Probability and Its Applications · 1956 · 1.2K citations

Natural Sciences, Mathematics, Probability Theory +12

Diffusion Processes and their Sample Paths.

G. F. Newell, Kanae Ito, H. P. McKean · American Mathematical Monthly · 1968 · 1.1K citations

Engineering, Mathematics, Financial Economics +16

Stochastic Volatility for Lévy Processes

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · Mathematical Finance · 2003 · 911 citations

Engineering, Economics, Finance +17

1–5 of 3.8K

Authors

JK
J. Klafter
Tel Aviv University, Israel
43 publications · 4.8K citations
31
h-index
AV
Aleksei V. Chechkin
Kharkiv Institute of Physics and Technology, Ukraine
28 publications · 2.2K citations
26
h-index
RM
Ralf Metzler
University of Potsdam, Germany
27 publications · 2.9K citations
24
h-index
AE
Andreas E. Kyprianou
University of Bath, United Kingdom
36 publications · 1.7K citations
22
h-index
OE
Ole E. Barndorff–Nielsen
Aarhus University, Denmark
27 publications · 1.8K citations
21
h-index

1–5 of 4K

Institutions

1.6K

1–8 of 1.6K

Venues

Stochastic Processes and their Applications
218 publications · 8.5K citations
47
h-index
The Annals of Probability
165 publications · 7.8K citations
47
h-index
Journal of Applied Probability
JAP · 117 publications · 5K citations
39
h-index
Probability Theory and Related Fields
116 publications · 5.2K citations
37
h-index
Physica A Statistical Mechanics and its Applications
89 publications · 3.6K citations
35
h-index

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