Lévy processes : theory and applications

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Lévy Processes—From Probability to Finance and Quantum Groups (2004, background): “As well as a vast number of research papers, a number of books on the subject have been published ([3], [11], [1], [2], [12]) and there have been annual international conferences devoted to these processes since 1998.”
A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001, unknown): “For a recent survey of applications, in finance and elsewhere, see Barndorff-Nielsen, Mikosch, and Resnick (2001).”
Continuous-time random walk and parametric subordination in fractional diffusion (2007, unknown): “We begin by considering the Cauchy problem for the (spatially onedimensional) space-time fractional diffusion equation tD β ∗ u(x, t) = xD α θ u(x, t) , u(x, 0) = δ(x) , x ∈ R, t ≥ 0 , (2.1) where {α , θ , β} are real parameters restricted to the ranges 0 α ≤ 2 , |θ| ≤ min{α, 2 − α} , 0 β ≤ 1 .”