Levy Processes and Stochastic Calculus: 116 (Cambridge Studies in Advanced Mathematics, Series Number 116)

David Applebaum

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Lingua: inglese

Editore: Cambridge University Press, 2009

0521738652 / 9780521738651

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Descrizione dell’articolo da parte del venditore

L vy 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 L vy processes, then leading on to develop the stochastic calculus for L vy 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 L vy processes to have finite moments; characterization of L vy processes with finite variation; Kunita's estimates for moments of L vy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general L vy processes; multiple Wiener-L vy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for L vy-driven SDEs.…

Codice articolo 00098865924

Titolo
Levy Processes and Stochastic Calculus: 116 (Cambridge Studies in Advanced Mathematics, Series Number 116)
Autore
David Applebaum
Editore
Cambridge University Press
Anno di pubblicazione
2009
Condizione
Good
Rilegatura
Paperback
Lingua
inglese
ISBN 10
0521738652
ISBN 13
9780521738651
Edizione
seconda edizione

World of Books (was SecondSale)

Montgomery, IL, U.S.A.

Venditore con 5 stelle

Venditore AbeBooks dal 20 dicembre 2007

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ArticoloDa 4 a 12 giorni lavorativiDa 3 a 6 giorni lavorativi
Primo articoloEUR 0,00EUR 9,82
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