Levy Processes and Stochastic Calculus

Name: Levy Processes and Stochastic Calculus
Price: 153.75 USD
Availability: InStock
ISBN: 9780521832632

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…

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