A fully revised and appended edition of this unique volume, which develops together these two important subjects.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Paperback. Condizione: Brand New. 2nd edition. 480 pages. 8.75x5.75x1.00 inches. In Stock. This item is printed on demand. Codice articolo __0521738652
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Kartoniert / Broschiert. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Levy processes with finite variation, multiple Wiener-. Codice articolo 5919137
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Paperback. Condizione: new. Paperback. Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Levy processes, then leading on to develop the stochastic calculus for Levy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Levy processes to have finite moments; characterisation of Levy processes with finite variation; Kunita's estimates for moments of Levy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Levy processes; multiple Wiener-Levy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Levy-driven SDEs. A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Levy processes with finite variation, multiple Wiener-Levy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Levy-driven SDEs. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Codice articolo 9780521738651
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