Paperback. 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. A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Levy processes with finite variation, multiple Wiener-Levy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Levy-driven SDEs. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Bestandsnummer des Verk�ufers 9780521738651

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Bibliografische Details

Titel: Levy Processes and Stochastic Calculus (Paperback)
Verlag: Cambridge University Press, Cambridge
Erscheinungsjahr: 2009
Sprache: Englisch
ISBN-10: 0521738652
ISBN-13: 9780521738651
Einband: Paperback
Auflage: 2. Auflage
Zustand: new

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A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Lévy processes with finite variation, multiple Wiener-Lévy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Lévy-driven SDEs.

�ber die Autorin bzw. den Autor

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.

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