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Levy Processes and Stochastic Calculus: 116 (Cambridge Studies in Advanced Mathematics, Series Number 116) - Tapa blanda

Applebaum, David

 
9780521738651: Levy Processes and Stochastic Calculus: 116 (Cambridge Studies in Advanced Mathematics, Series Number 116)
Tapa blanda
ISBN 10: 0521738652 ISBN 13: 9780521738651
Editorial: Cambridge University Press, 2009

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

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

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Cambridge University Press
Año de publicación
2009
Idioma
Inglés
ISBN 10 
0521738652
ISBN 13 
9780521738651
Encuadernación
Tapa blanda
Número de edición
2
Número de páginas
492
Contacto del fabricante
no disponible
Persona responsable
GPSR Kontakt
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