Lévy Processes and Stochastic Calculus

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Lévy Processes and Stochastic Calculus

Lévy Processes and Stochastic Calculus

David Applebaum

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

Категории:

Mathematics
Mathematics - Analysis

Год:

2004

Издательство:

Cambridge University Press

Язык:

english

Страницы:

408

ISBN 10:

0521832632