Read Anywhere and on Any Device!

Subscribe to Read | $0.00

Join today and start reading your favorite books for Free!

Create Free Account

Levy Processes and Stochastic Calculus

David Applebaum

0/5 ( ratings)

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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Levy processes, he accessibly develops the stochastic calculus for Levy processes. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem, are described.

Language: English

Pages: 408

Format: Hardcover

Release: July 05, 2004

ISBN 13: 9780521832632

Levy Processes and Stochastic Calculus

David Applebaum

0/5 ( ratings)

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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Levy processes, he accessibly develops the stochastic calculus for Levy processes. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem, are described.

Language: English

Pages: 408

Format: Hardcover

Release: July 05, 2004

ISBN 13: 9780521832632

More books from David Applebaum

World Philosophy: An Exploration in Words and Images

4.2/5 ( ratings)

The Vision of Hume

Everyday Spirits

4.3/5 ( ratings)

The Interpenetrating Reality: Bringing the Body to Touch

4.3/5 ( ratings)

Probability on Compact Lie Groups

4.3/5 ( ratings)

Parabola Myth, Tradition and the Search for Meaning The Heart (Vol. 26)

4.3/5 ( ratings)

Probability and Information: An Integrated Approach

4.3/5 ( ratings)

Semigroups of Linear Operators: With Applications to Analysis, Probability and Physics (London Mathematical Society Student Texts, Series Number 93)

4.3/5 ( ratings)

Quantum Independent Increment Processes I: From Classical Probability to Quantum Stochastic Calculus

4.3/5 ( ratings)

Limits, Limits Everywhere: The Tools of Mathematical Analysis by David Applebaum (1-Mar-2012) Paperback

4.3/5 ( ratings)

Rate this book!

Write a review?