Levy Processes and Stochastic Calculus (Paperback)

David Applebaum

ISBN 10: 0521738652 / ISBN 13: 9780521738651

Published by Cambridge University Press, Cambridge, 2009

About this Item

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.

Seller Inventory # 9780521738651

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

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.