Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

I am currently using Appelbaum but it does not go into too much detail how we deal with the part with small jumps.

Can someone please recommend a good text book? I have Bertoin at my disposal, but I do not see to find anything in the index.

Also an intro of martingale spaces is appreciated. Appelbaum mentioned Rudin.(which rudin's book is it?) Is there any other?

share|improve this question
add comment

1 Answer 1

up vote 0 down vote accepted

Lévy Processes and Infinitely Divisible Distributions by Ken-Iti Sato is a great source to Lévy processes and characterizations of such. It describes both the Lévy-Khintchine formula and the Lévy-Itô decomposition.

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.