Lévy processes and stochastic calculus:
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 t...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2009
|
| Ausgabe: | Second edition |
| Schriftenreihe: | Cambridge studies in advanced mathematics
116 |
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 UBM01 UBR01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 online resource (xxx, 460 Seiten) |
| ISBN: | 9780511809781 |
| DOI: | 10.1017/CBO9780511809781 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV043940643 | ||
| 003 | DE-604 | ||
| 005 | 20230824 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 161206s2009 |||| o||u| ||||||eng d | ||
| 020 | |a 9780511809781 |c Online |9 978-0-511-80978-1 | ||
| 024 | 7 | |a 10.1017/CBO9780511809781 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9780511809781 | ||
| 035 | |a (OCoLC)850973844 | ||
| 035 | |a (DE-599)BVBBV043940643 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-92 |a DE-355 |a DE-83 |a DE-19 | ||
| 082 | 0 | |a 519 |2 22 | |
| 084 | |a SK 820 |0 (DE-625)143258: |2 rvk | ||
| 100 | 1 | |a Applebaum, David |d 1956- |e Verfasser |0 (DE-588)136277659 |4 aut | |
| 245 | 1 | 0 | |a Lévy processes and stochastic calculus |c David Applebaum |
| 246 | 1 | 3 | |a Lévy Processes & Stochastic Calculus |
| 250 | |a Second edition | ||
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2009 | |
| 300 | |a 1 online resource (xxx, 460 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 1 | |a Cambridge studies in advanced mathematics |v 116 | |
| 520 | |a 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 | ||
| 650 | 4 | |a Lévy processes | |
| 650 | 4 | |a Stochastic analysis | |
| 650 | 0 | 7 | |a Stochastisches Integral |0 (DE-588)4126478-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische Differentialgleichung |0 (DE-588)4057621-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Lévy-Prozess |0 (DE-588)4463623-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Lévy-Prozess |0 (DE-588)4463623-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Stochastisches Integral |0 (DE-588)4126478-2 |D s |
| 689 | 1 | 1 | |a Stochastische Differentialgleichung |0 (DE-588)4057621-8 |D s |
| 689 | 1 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 978-0-521-73865-1 |
| 830 | 0 | |a Cambridge studies in advanced mathematics |v 116 |w (DE-604)BV044781283 |9 116 | |
| 856 | 4 | 0 | |u https://doi.org/10.1017/CBO9780511809781 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029349613 | ||
| 966 | e | |u https://doi.org/10.1017/CBO9780511809781 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511809781 |l FHN01 |p ZDB-20-CBO |q FHN_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511809781 |l UBM01 |p ZDB-20-CBO |q UBM_PDA_CBO_Kauf_2023 |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511809781 |l UBR01 |p ZDB-20-CBO |q UBR Einzelkauf (Lückenergänzung CUP Serien 2018) |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804176881428201472 |
|---|---|
| any_adam_object | |
| author | Applebaum, David 1956- |
| author_GND | (DE-588)136277659 |
| author_facet | Applebaum, David 1956- |
| author_role | aut |
| author_sort | Applebaum, David 1956- |
| author_variant | d a da |
| building | Verbundindex |
| bvnumber | BV043940643 |
| classification_rvk | SK 820 |
| collection | ZDB-20-CBO |
| ctrlnum | (ZDB-20-CBO)CR9780511809781 (OCoLC)850973844 (DE-599)BVBBV043940643 |
| dewey-full | 519 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1017/CBO9780511809781 |
| edition | Second edition |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03454nmm a2200565zcb4500</leader><controlfield tag="001">BV043940643</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20230824 </controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">161206s2009 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780511809781</subfield><subfield code="c">Online</subfield><subfield code="9">978-0-511-80978-1</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/CBO9780511809781</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9780511809781</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)850973844</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043940643</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-83</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 820</subfield><subfield code="0">(DE-625)143258:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Applebaum, David</subfield><subfield code="d">1956-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)136277659</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Lévy processes and stochastic calculus</subfield><subfield code="c">David Applebaum</subfield></datafield><datafield tag="246" ind1="1" ind2="3"><subfield code="a">Lévy Processes & Stochastic Calculus</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">Second edition</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xxx, 460 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Cambridge studies in advanced mathematics</subfield><subfield code="v">116</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Lévy processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stochastic analysis</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastisches Integral</subfield><subfield code="0">(DE-588)4126478-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Differentialgleichung</subfield><subfield code="0">(DE-588)4057621-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Lévy-Prozess</subfield><subfield code="0">(DE-588)4463623-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Lévy-Prozess</subfield><subfield code="0">(DE-588)4463623-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Stochastisches Integral</subfield><subfield code="0">(DE-588)4126478-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Stochastische Differentialgleichung</subfield><subfield code="0">(DE-588)4057621-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">978-0-521-73865-1</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Cambridge studies in advanced mathematics</subfield><subfield code="v">116</subfield><subfield code="w">(DE-604)BV044781283</subfield><subfield code="9">116</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/CBO9780511809781</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-20-CBO</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-029349613</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511809781</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">BSB_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511809781</subfield><subfield code="l">FHN01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">FHN_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511809781</subfield><subfield code="l">UBM01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">UBM_PDA_CBO_Kauf_2023</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511809781</subfield><subfield code="l">UBR01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">UBR Einzelkauf (Lückenergänzung CUP Serien 2018)</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043940643 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:14Z |
| institution | BVB |
| isbn | 9780511809781 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029349613 |
| oclc_num | 850973844 |
| open_access_boolean | |
| owner | DE-12 DE-92 DE-355 DE-BY-UBR DE-83 DE-19 DE-BY-UBM |
| owner_facet | DE-12 DE-92 DE-355 DE-BY-UBR DE-83 DE-19 DE-BY-UBM |
| physical | 1 online resource (xxx, 460 Seiten) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO ZDB-20-CBO UBM_PDA_CBO_Kauf_2023 ZDB-20-CBO UBR Einzelkauf (Lückenergänzung CUP Serien 2018) |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Cambridge University Press |
| record_format | marc |
| series | Cambridge studies in advanced mathematics |
| series2 | Cambridge studies in advanced mathematics |
| spelling | Applebaum, David 1956- Verfasser (DE-588)136277659 aut Lévy processes and stochastic calculus David Applebaum Lévy Processes & Stochastic Calculus Second edition Cambridge Cambridge University Press 2009 1 online resource (xxx, 460 Seiten) txt rdacontent c rdamedia cr rdacarrier Cambridge studies in advanced mathematics 116 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 Lévy processes Stochastic analysis Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 s DE-604 Stochastisches Integral (DE-588)4126478-2 s Stochastische Differentialgleichung (DE-588)4057621-8 s Erscheint auch als Druck-Ausgabe 978-0-521-73865-1 Cambridge studies in advanced mathematics 116 (DE-604)BV044781283 116 https://doi.org/10.1017/CBO9780511809781 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Applebaum, David 1956- Lévy processes and stochastic calculus Cambridge studies in advanced mathematics Lévy processes Stochastic analysis Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Lévy-Prozess (DE-588)4463623-4 gnd |
| subject_GND | (DE-588)4126478-2 (DE-588)4057621-8 (DE-588)4463623-4 |
| title | Lévy processes and stochastic calculus |
| title_alt | Lévy Processes & Stochastic Calculus |
| title_auth | Lévy processes and stochastic calculus |
| title_exact_search | Lévy processes and stochastic calculus |
| title_full | Lévy processes and stochastic calculus David Applebaum |
| title_fullStr | Lévy processes and stochastic calculus David Applebaum |
| title_full_unstemmed | Lévy processes and stochastic calculus David Applebaum |
| title_short | Lévy processes and stochastic calculus |
| title_sort | levy processes and stochastic calculus |
| topic | Lévy processes Stochastic analysis Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Lévy-Prozess (DE-588)4463623-4 gnd |
| topic_facet | Lévy processes Stochastic analysis Stochastisches Integral Stochastische Differentialgleichung Lévy-Prozess |
| url | https://doi.org/10.1017/CBO9780511809781 |
| volume_link | (DE-604)BV044781283 |
| work_keys_str_mv | AT applebaumdavid levyprocessesandstochasticcalculus AT applebaumdavid levyprocessesstochasticcalculus |