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 Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

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Bibliographic Details

Title: Levy Processes and Stochastic Calculus (Paperback)
Publisher: Cambridge University Press, Cambridge
Publication Date: 2009
Language: English
ISBN 10: 0521738652
ISBN 13: 9780521738651
Binding: Paperback
Edition: 2nd Edition
Condition: new

About this title

Synopsis

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.

About the Author

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

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