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Levy Processes and Stochastic Calculus

ISBN-10: 0521832632

ISBN-13: 9780521832632

Edition: 2004

Authors: David Applebaum, B. Bollobas, W. Fulton, A. Katok, F. Kirwan

List price: $104.00
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Description:

Lvy 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 Lvy processes. The second part develops the stochastic calculus for Lvy 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 Lvy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including It's formula, Girsanov's theorem and the martingale representation theorem.
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Book details

List price: $104.00
Copyright year: 2004
Publisher: Cambridge University Press
Publication date: 7/5/2004
Binding: Hardcover
Pages: 408
Size: 6.00" wide x 9.00" long x 1.00" tall
Weight: 1.496
Language: English

Introduction
Levy processes
Martingales, stopping times and random measures
Markov processes, semigroups and generators
Stochastic integration
Exponential martingales, change of measure and financial applications
Stochastic differential equations
Notation
Bibliography
Index