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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2009
|
| Edition: | Second edition |
| Series: | Cambridge studies in advanced mathematics
116 |
| Subjects: | |
| Online Access: | BSB01 FHN01 UBM01 UBR01 Volltext |
| Summary: | 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 |
| Physical Description: | 1 online resource (xxx, 460 Seiten) |
| ISBN: | 9780511809781 |
| DOI: | 10.1017/CBO9780511809781 |
Staff View
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| 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 |
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| physical | 1 online resource (xxx, 460 Seiten) |
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| publishDate | 2009 |
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| publisher | Cambridge University Press |
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| 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 |
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