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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduc...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2004
|
| Schriftenreihe: | Cambridge studies in advanced mathematics
93 |
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xxiv, 384 Seiten) |
| ISBN: | 9780511755323 |
| DOI: | 10.1017/CBO9780511755323 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV043940822 | ||
| 003 | DE-604 | ||
| 005 | 20190124 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 161206s2004 |||| o||u| ||||||eng d | ||
| 020 | |a 9780511755323 |c Online |9 978-0-511-75532-3 | ||
| 024 | 7 | |a 10.1017/CBO9780511755323 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9780511755323 | ||
| 035 | |a (OCoLC)850742875 | ||
| 035 | |a (DE-599)BVBBV043940822 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-92 |a DE-355 | ||
| 082 | 0 | |a 519.2/2 |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 |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2004 | |
| 300 | |a 1 online resource (xxiv, 384 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Cambridge studies in advanced mathematics |v 93 | |
| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. 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 | ||
| 650 | 4 | |a Lévy processes | |
| 650 | 4 | |a Stochastic analysis | |
| 650 | 0 | 7 | |a Lévy-Prozess |0 (DE-588)4463623-4 |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 Stochastisches Integral |0 (DE-588)4126478-2 |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 | |8 1\p |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 978-0-521-83263-2 |
| 856 | 4 | 0 | |u https://doi.org/10.1017/CBO9780511755323 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029349792 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511755323 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511755323 |l FHN01 |p ZDB-20-CBO |q FHN_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511755323 |l UBR01 |p ZDB-20-CBO |q UBR Einzelkauf (Lückenergänzung CUP Serien 2018) |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804176881796251648 |
|---|---|
| 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 | BV043940822 |
| classification_rvk | SK 820 |
| collection | ZDB-20-CBO |
| ctrlnum | (ZDB-20-CBO)CR9780511755323 (OCoLC)850742875 (DE-599)BVBBV043940822 |
| dewey-full | 519.2/2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/2 |
| dewey-search | 519.2/2 |
| dewey-sort | 3519.2 12 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1017/CBO9780511755323 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03329nmm a2200553zcb4500</leader><controlfield tag="001">BV043940822</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20190124 </controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">161206s2004 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780511755323</subfield><subfield code="c">Online</subfield><subfield code="9">978-0-511-75532-3</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/CBO9780511755323</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9780511755323</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)850742875</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043940822</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></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.2/2</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="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xxiv, 384 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="0" ind2=" "><subfield code="a">Cambridge studies in advanced mathematics</subfield><subfield code="v">93</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from publisher's bibliographic system (viewed on 05 Oct 2015)</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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. 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</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">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="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">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="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="8">1\p</subfield><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">978-0-521-83263-2</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/CBO9780511755323</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:BVB01-029349792</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511755323</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/CBO9780511755323</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/CBO9780511755323</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.BV043940822 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:14Z |
| institution | BVB |
| isbn | 9780511755323 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029349792 |
| oclc_num | 850742875 |
| open_access_boolean | |
| owner | DE-12 DE-92 DE-355 DE-BY-UBR |
| owner_facet | DE-12 DE-92 DE-355 DE-BY-UBR |
| physical | 1 online resource (xxiv, 384 Seiten) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO ZDB-20-CBO UBR Einzelkauf (Lückenergänzung CUP Serien 2018) |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Cambridge University Press |
| record_format | marc |
| 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 Cambridge Cambridge University Press 2004 1 online resource (xxiv, 384 Seiten) txt rdacontent c rdamedia cr rdacarrier Cambridge studies in advanced mathematics 93 Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. 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 Lévy processes Stochastic analysis Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 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 1\p DE-604 Erscheint auch als Druck-Ausgabe 978-0-521-83263-2 https://doi.org/10.1017/CBO9780511755323 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Applebaum, David 1956- Lévy processes and stochastic calculus Lévy processes Stochastic analysis Lévy-Prozess (DE-588)4463623-4 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| subject_GND | (DE-588)4463623-4 (DE-588)4057621-8 (DE-588)4126478-2 |
| 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 Lévy-Prozess (DE-588)4463623-4 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| topic_facet | Lévy processes Stochastic analysis Lévy-Prozess Stochastische Differentialgleichung Stochastisches Integral |
| url | https://doi.org/10.1017/CBO9780511755323 |
| work_keys_str_mv | AT applebaumdavid levyprocessesandstochasticcalculus AT applebaumdavid levyprocessesstochasticcalculus |