Levy Processes and Stochastic Calculus
(Book #116 in the Cambridge Studies in Advanced Mathematics Series)
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Book Overview
L?vy 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 L?vy processes, then leading on to develop the stochastic calculus for L?vy 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 L?vy processes to have finite moments; characterisation of L?vy processes with finite variation; Kunita's estimates for moments of L?vy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general L?vy processes; multiple Wiener-L?vy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for L?vy-driven SDEs.
Format:Paperback
Language:English
ISBN:0521738652
ISBN13:9780521738651
Release Date:May 2009
Publisher:Cambridge University Press
Length:492 Pages
Weight:1.60 lbs.
Dimensions:1.0" x 5.9" x 8.9"
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