Levy Processes and Stochastic Calculus by David Applebaum
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.-
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Complex Topological K-Theory
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Mathematical Aspects of Quantum Field Theory
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Enumerative Combinatorics: Volume 1
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Introduction to Homotopy Type Theory
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Hodge Theory and Complex Algebraic Geometry I: Volume 1
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Random Graphs
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Enumerative Combinatorics: Volume 2
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Algebraic Number Theory
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Spectral Theory and Differential Operators
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An Introduction to the Theory of the Riemann Zeta-Function
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Hardy Spaces
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Gaussian Processes on Trees
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Multidimensional Real Analysis I
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Periodic Elliptic Partial Differential Operators
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Higher Index Theory
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A Course in Finite Group Representation Theory
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Optimal Control and Geometry: Integrable Systems
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The Theory of Fusion Systems
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Derived Categories
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Uniform Central Limit Theorems
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Random Fragmentation and Coagulation Processes
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Holomorphic Dynamics
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An Introduction to Invariants and Moduli
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Quasiconformal Surgery in Holomorphic Dynamics
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Martingales in Banach Spaces
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Tolerance Graphs
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An Outline of Ergodic Theory
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Spectra of Discrete Structures
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Analytic Combinatorics in Several Variables
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Fourier Analysis and Partial Differential Equations
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Riemannian Geometry
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Representations of the Infinite Symmetric Group
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Soliton Equations and their Algebro-Geometric Solutions: Volume 1, (1+1)-Dimensional Continuous Models
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Local Cohomology
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Multiplicative Number Theory I
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Analysis in Integer and Fractional Dimensions
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An Introduction to Nonlinear Analysis
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Extremal Graph and Hypergraph Theory
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The Bellman Function Technique in Harmonic Analysis
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Explicit Brauer Induction
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Random Walk: A Modern Introduction
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Clifford Algebras and the Classical Groups
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Wavelets
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The Logarithmic Integral: Volume 2
'The book introduces all the tools that are needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem' L'Enseignement Mathématique
'The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochiastic calculus … This book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Lévy processes accessible to a broad mathematical audience.' Mathematical Reviews
'The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochiastic calculus … This book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Lévy processes accessible to a broad mathematical audience.' Mathematical Reviews
David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.
| SKU | Unavailable |
| ISBN 13 | 9780521738651 |
| ISBN 10 | 0521738652 |
| Title | Levy Processes and Stochastic Calculus |
| Author | David Applebaum |
| Series | Cambridge Studies In Advanced Mathematics |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Cambridge University Press |
| Year published | 2009-04-30 |
| Number of pages | 492 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |