Lévy Processes and Stochastic Calculus

Lévy Processes and Stochastic Calculus
Author :
Publisher : Cambridge University Press
Total Pages : 461
Release :
ISBN-10 : 9781139477987
ISBN-13 : 1139477986
Rating : 4/5 (87 Downloads)

Book Synopsis Lévy Processes and Stochastic Calculus by : David Applebaum

Download or read book Lévy Processes and Stochastic Calculus written by David Applebaum and published by Cambridge University Press. This book was released on 2009-04-30 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Lévy Processes and Stochastic Calculus Related Books

Lévy Processes and Stochastic Calculus
Language: en
Pages: 461
Authors: David Applebaum
Categories: Mathematics
Type: BOOK - Published: 2009-04-30 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

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
Malliavin Calculus for Lévy Processes with Applications to Finance
Language: en
Pages: 421
Authors: Giulia Di Nunno
Categories: Mathematics
Type: BOOK - Published: 2008-10-08 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents th
Lévy Processes in Lie Groups
Language: en
Pages: 292
Authors: Ming Liao
Categories: Mathematics
Type: BOOK - Published: 2004-05-10 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

Up-to-the minute research on important stochastic processes.
Brownian Motion and Stochastic Calculus
Language: en
Pages: 490
Authors: Ioannis Karatzas
Categories: Mathematics
Type: BOOK - Published: 2014-03-27 - Publisher: Springer

DOWNLOAD EBOOK

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in
Elementary Stochastic Calculus with Finance in View
Language: en
Pages: 230
Authors: Thomas Mikosch
Categories: Mathematics
Type: BOOK - Published: 1998 - Publisher: World Scientific

DOWNLOAD EBOOK

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch