Lévy Processes and Stochastic Calculus

By:

David Applebaum

Format:

Paperback / softback

Series:

Cambridge Studies in Advanced Mathematics

Show Hide Adult Content

$242.99

Available from supplier

Usually ships in 3-4 weeks

0 in Trolley

Price Match

Wrap this item as a gift ($5.90) - add a free gift card on the next page

Buy Now, Pay Later with:

4 payments of $60.75 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

Around 11-21 June using International Courier

Description

Lévy 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 Lévy processes, then leading on to develop the stochastic calculus for Lévy 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 Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.

Author Biography:

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.

Release date Australia

April 30th, 2009

Author

David Applebaum

Audience

Postgraduate, Research & Scholarly

Edition

2nd Revised edition

Illustrations

Worked examples or Exercises

Pages

492

Series

Cambridge Studies in Advanced Mathematics

Dimensions

150x226x25

ISBN-13

9780521738651

Product ID

2916221

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here