LEVY PROCESSES AND STOCHASTIC CALCULUS by David Applebaum ( 9780521738651 )

Item Details

Title:

LEVY PROCESSES AND STOCHASTIC CALCULUS

By:

David Applebaum

Format:

Paperback

List price:

£76.99

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£67.37

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£9.62

ISBN 10:

0521738652

ISBN 13:

9780521738651

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

30 April, 2009

Edition:

2nd Revised edition

Series:

Cambridge Studies in Advanced Mathematics No. 116

Pages:

492

Description:

A fully revised and appended edition of this unique volume, which develops together these two important subjects.

Synopsis:

Levy 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 Levy processes, then leading on to develop the stochastic calculus for Levy 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 Levy processes to have finite moments; characterisation of Levy processes with finite variation; Kunita's estimates for moments of Levy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Levy processes; multiple Wiener-Levy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Levy-driven SDEs.

Illustrations:

130 exercises

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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