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An Introduction to Lévy and Feller Processes. Advanced Co...
René L. Schilling · 2016-03-01 · via math.PR updates on arXiv.org

These lecture notes are an extended version of my lectures on Lévy and Lévy-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 Lévy processes: Lévy-type or Feller processes. These course notes will be published, together Davar Khoshnevisan's notes on "Invariance and Comparison Principles for Parabolic SPDEs" as "From Lévy-Type Processes to Parabolic SPDEs" by the CRM, Barcelona and Birkäuser, Cham 2017 (ISBN: 978-3-319-34119-4). The arXiv-version and the published version may differ in layout, pagination and wording, but not in content