國立虎尾科技大學 |

Lévy processes and stochastic calculus /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Lévy processes and stochastic calculus // David Applebaum.
其他題名:	Lévy Processes & Stochastic Calculus
作者:	Applebaum, David,
面頁冊數:	1 online resource (xxiv, 384 pages) :digital, PDF file(s). :
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
標題:	Stochastic analysis. -
電子資源:	https://doi.org/10.1017/CBO9780511755323
ISBN:	9780511755323 (ebook)

Lévy processes and stochastic calculus /
Applebaum, David,1956-

Lévy processes and stochastic calculus /Lévy Processes & Stochastic CalculusDavid Applebaum. - 1 online resource (xxiv, 384 pages) :digital, PDF file(s). - Cambridge studies in advanced mathematics ;93. - Cambridge studies in advanced mathematics ;134..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Lévy 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 Lévy processes. The second part develops the stochastic calculus for Lévy 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 stochastic integrals and stochastic differential equations driven by Lévy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem.

ISBN: 9780511755323 (ebook)Subjects--Topical Terms:

560202
Stochastic analysis.

LC Class. No.: QA274.73 / .A67 2004

Dewey Class. No.: 519.2/2

Lévy processes and stochastic calculus /
LDR:02042nam a2200301 i 4500 001 1124186
003 UkCbUP
005 20151005020622.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 240926s2004||||enk o ||1 0|eng|d
020 $a 9780511755323 (ebook)
020 $z 9780521832632 (hardback)
035 $a CR9780511755323
040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a QA274.73 $b .A67 2004
082 0 0 $a 519.2/2 $2 22
100 1 $a Applebaum, David, $d 1956- $e author. $3 1439704
245 1 0 $a Lévy processes and stochastic calculus / $c David Applebaum.
246 3 $a Lévy Processes & Stochastic Calculus
264 1 $a Cambridge : $b Cambridge University Press, $c 2004.
300 $a 1 online resource (xxiv, 384 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
490 1 $a Cambridge studies in advanced mathematics ; $v 93
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
520 $a Lévy 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 Lévy processes. The second part develops the stochastic calculus for Lévy 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 stochastic integrals and stochastic differential equations driven by Lévy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem.
650 0 $a Stochastic analysis. $3 560202
650 0 $a Lévy processes. $3 1405890
776 0 8 $i Print version: $z 9780521832632
830 0 $a Cambridge studies in advanced mathematics ; $v 134. $3 1133579
856 4 0 $u https://doi.org/10.1017/CBO9780511755323