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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2004
|
| Series: | Cambridge studies in advanced mathematics
93 |
| Subjects: | |
| Online Access: | BSB01 FHN01 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. 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xxiv, 384 Seiten) |
| ISBN: | 9780511755323 |
| DOI: | 10.1017/CBO9780511755323 |
Staff View
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| 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 |
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| 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 |