東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Levy processes and stochastic calculus

Applebaum, David, (1956-)

FindBook

Google Book

Amazon

博客來

Levy processes and stochastic calculus

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Levy processes and stochastic calculus/ David Applebaum.
其他題名:	Levy Processes & Stochastic Calculus
作者:	Applebaum, David,
出版者:	Cambridge :Cambridge University Press, : 2009.,
面頁冊數:	xxx, 460 p. :ill., digital ;24 cm.
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
標題:	Levy processes. -
電子資源:	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
LDR:01975nmm a2200289 a 4500 001 2227236
003 UkCbUP
005 20160211115243.0
006 m d
007 cr nn 008maaau
008 210414s2009 enk o 1 0 eng d
020 $a 9780511809781 $q (electronic bk.)
020 $a 9780521738651 $q (paperback)
035 $a CR9780511809781
040 $a UkCbUP $b eng $c UkCbUP $d GP
041 0 $a eng
050 4 $a QA274.73 $b .A67 2009
082 0 4 $a 519 $2 22
090 $a QA274.73 $b .A648 2009
100 1 $a Applebaum, David, $d 1956- $3 710327
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