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Lévy processes and stochastic calcu...

Applebaum, David, (1956-)

Lévy processes and stochastic calculus /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	519.2/2
書名/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:	Lévy processes.
標題:	Stochastic analysis.
ISBN:	9780511755323 (ebook)
摘要、提要註:	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.
電子資源:	http://dx.doi.org/10.1017/CBO9780511755323

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 ;105..

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:

642493
Lévy processes.

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

Dewey Class. No.: 519.2/2

Lévy processes and stochastic calculus /
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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.
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856 4 0 $u http://dx.doi.org/10.1017/CBO9780511755323

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