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 ...
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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.
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New. Trade paperback (US). Contains: Unspecified. Cambridge Studies in Advanced Mathematics . 130 exercises. Intended for college/higher education audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
New. Trade paperback (US). Contains: Unspecified. Cambridge Studies in Advanced Mathematics . 130 exercises. Intended for college/higher education audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
