Research Catalog

Lévy processes and stochastic calculus

Title
Lévy processes and stochastic calculus / David Applebaum.
Author
Applebaum, David, 1956-
Publication
Cambridge, UK ; New York : Cambridge University Press, 2004.

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Details

Description
xxiv, 384 pages; 24 cm.
Series Statement
Cambridge studies in advanced mathematics ; 93
Uniform Title
Cambridge studies in advanced mathematics ; 93.
Subject
  • Lévy processes
  • Stochastic analysis
  • Lévy processes
  • Stochastic analysis
  • Stochastische Differentialgleichung
  • Lévy-Prozess
  • Sprungprozess
  • Markov-Sprungprozess
  • Stochastische analyse
  • Processos estocasticos
  • Análise estocastica
Bibliography (note)
  • Includes bibliographical references and index.
Contents
1. Levy processes -- 2. Martingales, stopping times and random measures -- 3. Markov processes, semigroups and generators -- 4. Stochastic integration -- 5. Exponential martingales, change of measure and financial applications -- 6. Stochastic differential equations.
ISBN
  • 0521832632
  • 9780521832632
LCCN
  • 2003063882
  • 9780521832632
OCLC
  • ocm53940109
  • 53940109
  • SCSB-1335855
Owning Institutions
Princeton University Library