Lévy processes and stochastic calculus /
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| Author / Creator: | Applebaum, David, 1956- |
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| Edition: | 2nd ed. |
| Imprint: | Cambridge ; New York : Cambridge University Press, ©2009. |
| Description: | 1 online resource (xxx, 460 pages) |
| Language: | English |
| Series: | Cambridge studies in advanced mathematics ; 116 Cambridge studies in advanced mathematics ; 116. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11824269 |
| Summary: | 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; characterization 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. |
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| Physical Description: | 1 online resource (xxx, 460 pages) |
| Bibliography: | Includes bibliographical references (pages 431-448) and indexes. |
| ISBN: | 9780511650581 0511650582 9780521738651 0521738652 9780511532931 0511532938 9780511533846 0511533845 9780511809781 0511809786 |