Levy processes stochastic calculus von applebaum david (11 Ergebnisse)

Paperback. Zustand: Good. 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 now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for L vy processes to have finite moments; characterization of L vy processes with finite variation; Kunita's estimates for moments of L vy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general L vy processes; multiple Wiener-L vy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for L vy-driven SDEs.…

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Zustand: New. A fully revised and appended edition of this unique volume, which develops together these two important subjects. Series: Cambridge Studies in Advanced Mathematics. Num Pages: 492 pages, 130 exercises. BIC Classification: PBK; PBWL. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 229 x 151 x 26. Weight in Grams: 720. . 2009. 2nd Edition. paperback. . . . . …

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Paperback. Zustand: New. 2nd. 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; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.…

Hardcover. Zustand: Very Good. 8vo (23.5 cm), XXIV, 384 pp. Hardcover (binding slightly rubbed at extremities). "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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Lévy processes, he accessibly develops the stochastic calculus for Lévy processes. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem, are described." (from the blurb).…

Zustand: New. A fully revised and appended edition of this unique volume, which develops together these two important subjects. Series: Cambridge Studies in Advanced Mathematics. Num Pages: 492 pages, 130 exercises. BIC Classification: PBK; PBWL. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 229 x 151 x 26. Weight in Grams: 720. . 2009. 2nd Edition. paperback. . . . . Books ship from the US and Ireland. …

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.…

Paperback. Zustand: New. 2nd. 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; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.…