Levy Processes and Stochastic Calculus

David Applebaum

ISBN 10: 0521738652 / ISBN 13: 9780521738651

Editore: Cambridge University Press, 2009

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Druck auf Anfrage Neuware - Printed after ordering - Lévy 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 Lévy processes, then leading on to develop the stochastic calculus for Lévy 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 Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.

Codice articolo 9780521738651

Dati bibliografici

• Titolo: Levy Processes and Stochastic Calculus
• Editore: Cambridge University Press
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 0521738652
• ISBN 13: 9780521738651
• Rilegatura: Taschenbuch
• Edizione: seconda edizione
• Condizione: Neu
• Dimensioni: 229 L x 152 A x 29 P (millimetri) 229 millimetri di larghezza per 152 millimetri di altezza per 29 millimetri di profondità
• Peso: 792 grammi

Descrizione articolo

Riassunto

A fully revised and appended edition of this unique volume, which develops together these two important subjects.

Informazioni sull?autore

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.