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Levy processes and stochastic calculus

Applebaum, David, (1956-)

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Levy processes and stochastic calculus

Record Type:	Electronic resources : Monograph/item
Title/Author:	Levy processes and stochastic calculus/ David Applebaum.
remainder title:	Levy Processes & Stochastic Calculus
Author:	Applebaum, David,
Published:	Cambridge :Cambridge University Press, : 2009.,
Description:	xxx, 460 p. :ill., digital ;24 cm.
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Levy processes. -
Online resource:	https://doi.org/10.1017/CBO9780511809781
ISBN:	9780511809781

Levy processes and stochastic calculus
Applebaum, David,1956-

Levy processes and stochastic calculus[electronic resource] /Levy Processes & Stochastic CalculusDavid Applebaum. - Second edition. - Cambridge :Cambridge University Press,2009. - xxx, 460 p. :ill., digital ;24 cm. - Cambridge studies in advanced mathematics ;116. - Cambridge studies in advanced mathematics ;116..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

ISBN: 9780511809781Subjects--Topical Terms:

747418
Levy processes.

LC Class. No.: QA274.73 / .A67 2009

Dewey Class. No.: 519

Levy processes and stochastic calculus
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245 1 0 $a Levy processes and stochastic calculus $h [electronic resource] / $c David Applebaum.
246 3 $a Levy Processes & Stochastic Calculus
250 $a Second edition.
260 $a Cambridge : $b Cambridge University Press, $c 2009.
300 $a xxx, 460 p. : $b ill., digital ; $c 24 cm.
490 1 $a Cambridge studies in advanced mathematics ; $v 116
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
520 $a 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.
650 0 $a Levy processes. $3 747418
650 0 $a Stochastic analysis. $3 533923
830 0 $a Cambridge studies in advanced mathematics ; $v 116. $3 3470549
856 4 0 $u https://doi.org/10.1017/CBO9780511809781