Skip to main content Accessibility help
×
  1. Home
  2. Books
  3. Lévy Processes and Stochastic Calculus
  • Cited by 587
      • Show more authors
      • You may already have access via personal or institutional login
    • Select format
    • Publisher:
      Cambridge University Press
      Publication date:
      06 July 2010
      05 July 2004
      ISBN:
      9780511755323
      DOI:
      https://doi.org/10.1017/CBO9780511755323
      Dimensions:
      Weight & Pages:
      Dimensions:
      Weight & Pages:
      • Subjects:
      Mathematics (general), Mathematics, Mathematical Finance, Probability Theory and Stochastic Processes, Statistics and Probability
      Series:
      Cambridge Studies in Advanced Mathematics (93)
    You may already have access via personal or institutional login
    • Selected: Digital
    Add to cart View cart Buy from Cambridge.org
    Subjects:
    Mathematics (general), Mathematics, Mathematical Finance, Probability Theory and Stochastic Processes, Statistics and Probability
    Series:
    Cambridge Studies in Advanced Mathematics (93)
    Information

    Book description

    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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem.

    Reviews

    '… the monograph closes the gap between classical textbooks on stochastic analysis where either Brownian motion or general semimartingales are considered. … Besides standard results on existence and uniqueness of a solution and its Markov property, more advanced concepts are presented, such as representation of the solutions as Feller processes and as a stochastic flow.'

    Source: Zentralblatt MATH

    Refine List

    Actions for selected content:

    Select all | Deselect all
    • View selected items
    • Export citations
    • Download PDF (zip)
    • Save to Kindle
    • Save to Dropbox
    • Save to Google Drive

    Save Search

    You can save your searches here and later view and run them again in "My saved searches".

    Please provide a title, maximum of 40 characters.
    Cancel
    ×

    Contents

    Contents

    Metrics

    Altmetric attention score

    Full text views

    Total number of HTML views: 0
    Total number of PDF views: 0 *
    Loading metrics...

    Book summary page views

    Total views: 0 *
    Loading metrics...

    * Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

    Usage data cannot currently be displayed.

    Accessibility standard: Unknown

    Why this information is here

    This section outlines the accessibility features of this content - including support for screen readers, full keyboard navigation and high-contrast display options. This may not be relevant for you.

    Accessibility Information

    Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.