Levy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics No. 116 2nd Revised edition)

Levy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics No. 116 2nd Revised edition)

By: David Applebaum (author)Paperback

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Description

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.

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About Author

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

Contents

Preface to second edition; Preface to first edition; Overview; Notation; 1. Levy processes; 2. Martingales, stopping times and random measures; 3. Markov processes, semigroups and generators; 4. Stochastic integration; 5. Exponential martingales; 6. Stochastic differential equations; References; Index of notation; Subject index.

Product Details

  • publication date: 30/04/2009
  • ISBN13: 9780521738651
  • Format: Paperback
  • Number Of Pages: 492
  • ID: 9780521738651
  • weight: 720
  • ISBN10: 0521738652
  • edition: 2nd Revised edition

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