Levy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics)
By David Applebaum.
Description
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. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy 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 suff...
ISBN(s)
0521738652, 9780521738651
