Nicholas Hugh Bingham: Introduction to Lévy processes
We give an introduction to Lévy processes, intended to be self-contained. The course is in principle accessible to those without a prior knowledge of measure theory, or measure-theoretic probability, but such prior knowledge would of course be useful (those without it may find the Stochastic Processes link on my Imperial College London homepage helpful).
Topics covered include the Lévy-Khintchine formula, Lévy-Itô decomposition and wavelet (Paley-Wiener-Zygmund) expansion of Brownian motion. We also discuss self-decomposability and multivariate financial time series.