David Applebaum

Levy Processes and Stochastic Calculus

Buch

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 sufficient conditions for Lévy processes to have finite moments; characterisat… Mehr

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Produktdetails

ISBN: 978-0-521-73865-1
EAN: 9780521738651
Produktnummer: 4515610
Verlag: Cambridge University Press
Sprache: Englisch
Erscheinungsjahr: 2014
Seitenangabe: 492 S.
Masse: H22.9 cm x B15.2 cm x D2.8 cm 749 g
Abbildungen: Paperback
Gewicht: 749

Über den Autor

David Appelbaum has previously worked at a University as well as in publishing. His most recent books include notes on water: an aqueous phenomenology [Monkfish, 2018].