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Lévy processes and stochastic calculus [electronic resource] / David Applebaum.

By: Material type: TextTextSeries: Cambridge studies in advanced mathematics ; 116.Publication details: Cambridge ; New York : Cambridge University Press, ©2009.Edition: 2nd edDescription: 1 online resource (xxx, 460 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511650581
  • 0511650582
  • 9780521738651
  • 0521738652
  • 9780511532931
  • 0511532938
  • 9780511533846
  • 0511533845
Subject(s): Genre/Form: Additional physical formats: Print version:: Lévy processes and stochastic calculus.DDC classification:
  • 519 22
LOC classification:
  • QA274.73 .A67 2009eb
Online resources:
Contents:
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.
Summary: 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.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Mathematics Available
Total holds: 0

Includes bibliographical references (pages 431-448) and indexes.

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.

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.

Print version record.

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