Mathematics Levy Processes and Stochastic Calculus (9780521832632)

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Author: David Applebaum
Publisher: cambridge press
Publish Date: July 2004
ISBN: 9780521832632
Pages: 408

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. Buy Book at Lowest Price on Amazon

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	Science/Engineering Stochastic Calculus for Fractional Brownian Motion and Related Processes Yuliya S. Mishura “Stochastic Calculus for Fractional Brownian Motion and Related Processes" Springer \| 2008-01-02 \| ISBN:3540758720 \| 398 pages \| PDF \| 2,4 Mb
	Economics/Finances Malliavin Calculus for Lévy Processes with Applications to Finance Giulia Di Nunno, Bernt Øksendal, Frank Proske “Malliavin Calculus for Lévy Processes with Applications to Finance " Springer \| 2008-11-01 \| ISBN: 354078571X \| 418 pages \| PDF \| 3,2 MB While the original works on Malliavin calculus ai ...
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	Science/Engineering Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach, Vol. 168 Sigurd Assing, Wolfgang M. Schmidt "Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach, Vol. 168"Springer-Verlag Telos \| 1998-06 \| ISBN: 3540644652 \| 135 pages \| PDF \| 4,7 MBThe book presents an in-depth stu ...
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	Economics/Finances Levy Processes in Credit Risk Wim Schoutens, Jessica Cariboni, "Levy Processes in Credit Risk" Wiley \| 2009 \| ISBN: 0470743069 \| 200 pages \| PDF \| 1,1 MB "Schoutens and Cariboni are two of a horrifyingly small number of authors who realize that something had to be d ...

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