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101 0 $aeng
135   $aur|||||||||||
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aLe?vy processes and stochastic calculus /$fDavid Applebaum$b[electronic resource]
210  1$aCambridge :$cCambridge University Press,$d2004.
215   $a1 online resource (xxiv, 384 pages) $cdigital, PDF file(s)
225 1 $aCambridge studies in advanced mathematics ;$v93
300   $aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
311   $a0-521-83263-2 
320   $aIncludes bibliographical references (p. 360-374) and indexes.
327   $aCover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Le?vy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index
330   $aLe?vy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Le?vy processes. The second part develops the stochastic calculus for Le?vy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Le?vy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Ito?'s formula, Girsanov's theorem and the martingale representation theorem.
410  0$aCambridge studies in advanced mathematics ;$v93.
517 3 $aLe?vy Processes & Stochastic Calculus
606   $aLe?vy processes
606   $aStochastic analysis
615  0$aLe?vy processes.
615  0$aStochastic analysis.
676   $a519.2/2
700   $aApplebaum$b David$f1956-$0151518
801  0$bUkCbUP
801  1$bUkCbUP
906   $aBOOK
912   $a9910457662903321
996   $aLevy processes and stochastic calculus$9669651
997   $aUNINA