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Levy Processes and Stochastic Calculus

Levy Processes and Stochastic Calculus

by David Applebaum
Paperback
Publication Date: 30/04/2009

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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:
9780521738651
9780521738651
Category:
Calculus & mathematical analysis
Format:
Paperback
Publication Date:
30-04-2009
Language:
English
Publisher:
Cambridge University Press
Country of origin:
United Kingdom
Edition:
2nd Edition
Pages:
492
Dimensions (mm):
226x150x25mm
Weight:
0.73kg

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