In this chapter we present some basic definitions and results about Lévy processes. We do not aim at being complete in our presentation, but for a smoother reading, we like to include the notions we constantly refer to in this book. We can address the reader to the recent monographs, for example, [8, 32, 115, 213] for a deeper study of Lévy processes. Our presentation follows the survey given in [183, Chap. 1].
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(2009). A Short Introduction to Lévy Processes. In: Nunno, G.D., Øksendal, B., Proske, F. (eds) Malliavin Calculus for Lévy Processes with Applications to Finance. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-78572-9_9
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