LEVY PROCESSES & STOCHASTIC CALCULUS
APPLEBAUM, DAVID
ISBN 10: 0521738652 ISBN 13: 9780521738651
Published by CAMBRIDGE GENERAL ACADEMIC, 2009
Used
Soft cover
From
OM Books, Dos Hermanas, SE, Spain
Seller rating 5 out of 5 stars
AbeBooks Seller since January 27, 2022
This specific item is no longer available.
About this Item
Description:
Seller Inventory # 9780521738651
Synopsis:
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; characterization 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.
About the Author: David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.
"About this title" may belong to another edition of this title.
Bibliographic Details
Title: LEVY PROCESSES & STOCHASTIC CALCULUS
Publisher: CAMBRIDGE GENERAL ACADEMIC
Publication Date: 2009
Binding: Soft cover
Condition: Usado - bueno
Edition: 2nd Edition