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Lévy processes and stochastic calculus /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge ; New York :
Cambridge University Press,
©2009.
|
| Edición: | 2nd ed. |
| Colección: | Cambridge studies in advanced mathematics ;
116. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.