| Lévy Processes and Stochastic Calculus Revised Edition Contributor(s): Applebaum, David (Author) |
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ISBN: 0511809786 ISBN-13: 9780511809781 Publisher: Cambridge University Press OUR PRICE: $191.25 Product Type: Open Ebook - Other Formats Published: January 2011 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Computers | Programming Languages - General |
| Dewey: 518.28 |
| Series: Cambridge Studies in Advanced Mathematics |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |
Contributor Bio(s): Applebaum, David: - David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield. |