Lévy Processes and Stochastic Calculus

by David Applebaum

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 0521738652
• ISBN13: 9780521738651
• Release Date: May 2009
• Publisher: Cambridge University Press
• Length: 492 Pages
• Weight: 1.60 lbs.
• Dimensions: 1.0" x 5.9" x 8.9"