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Author Applebaum, David, 1956-

Title LÚvy processes and stochastic calculus / David Applebaum

Publ Info Cambridge ; New York : Cambridge University Press, [2009]
ę2009
Edition Second edition
LOCATION CALL # STATUS NOTE
 RWU Main Library  QA274.73 .A67 2009    AVAILABLE
Descript xxx, 460 pages ; 23 cm
text rdacontent
unmediated rdamedia
volume rdacarrier
Series Cambridge studies in advanced mathematics ; 116
Note Includes bibliographical references (p. 431-448) and indexes
Contents Levy processes -- Martingales, stopping times and random measures -- Markov processes, semigroups and generators -- Stochastic integration -- Exponential martingales, change of measure and financial applications -- Stochastic differential equations
Note Levy 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. In this text Applebaum ties the two subjects together
LC subject LÚvy processes
Stochastic analysis
ISBN 9780521738651
0521738652