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Lévy processes and stochastic calculus /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Lévy processes and stochastic calculus // David Applebaum.
remainder title:	Lévy Processes & Stochastic Calculus
Author:	Applebaum, David,
Description:	1 online resource (xxiv, 384 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Lévy processes. -
Online resource:	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:

1405890
Lévy processes.

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

Dewey Class. No.: 519.2/2

Lévy processes and stochastic calculus /
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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 Lévy processes. $3 1405890
650 0 $a Stochastic analysis. $3 560202
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