Bernstein functions. Theory and applications (Q5919236): Difference between revisions

This is a book on Bernstein functions and special functions, written by three probabilists. S. Bernstein was a St. Petersburg probabilist who published a great number of articles in French and Russian. In a crucial paper from 1927, Bernstein extended the central limit theorem to sums of random variables which are not required to be independent [see \textit{H. Cramér}, Ann. Probab. 4, 509--546 (1976; Zbl 0351.60001)]. The style of the book is that of real analysis and we will describe the reason for this shortly. The first two chapters are devoted to Laplace transforms and Stieltjes functions. Chapters 3, 6 and 7 are concerned with Bernstein functions, which are closely related to completely monotone functions. The French mathematician Paul Lévy characterized all kinds of certain stochastic processes named after him in the thirties. The theory of infinite divisibility is based on the Lévy-Khintchine representation. This brings us to the Swedish probabilist Olof Thorin [see \textit{L. Bondesson, J. Grandell} and \textit{J. Peetre}, Proc. Est. Acad. Sci. 57, No. 1, 18--25 (2008; Zbl 1147.01005)], who introduced the generalized \(\Gamma\) convolution in 1977. In the same year, Thorin proved that the lognormal distribution is infinitely divisible. Chapter 8 is concerned with Thorin-Bernstein functions. Lennart Bondesson followed in the footsteps of Thorin and then published papers on the generalized \(\Gamma\)-convolution. The name Bondesson class of probability measure receives a special name in chapter 9. At the end of this chapter there are some pretty pictures which illustrate the relations between various classes of distributions and their Laplace exponents. Chapter 10 is concerned with special Bernstein functions and potentials. In chapters 11--14, applications of Bernstein functions and complete Bernstein functions are given; examples are operator theory on Hilbert spaces, strongly continuous contraction semigroups of operators on a Banach space, potential theory of subordinate killed Brownian motion and applications to generalized diffusions. In chapter 15 a long list of examples of complete Bernstein functions is given. The tables are to be understood as follows: On the left is the distribution function and on the right are the Lévy, Stieltjes and Thorin representation measures. Some references to the two volume book by Erdelyi et. al. ``Tables of integral transforms'' are given, which is not to be confused with the more well-known three volume ``Higher transcendental functions''. Among other things, the book is an interesting companion to the existing tables on special functions.