
Levy Processes and Stochastic Calculus
David Applebaum(Author)
Cambridge University Press
2nd Edition
Published on 30. April 2009
Book
Paperback/Softback
492 pages
978-0-521-73865-1 (ISBN)
Description
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. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Levy processes, then leading on to develop the stochastic calculus for Levy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Levy processes to have finite moments; characterisation of Levy processes with finite variation; Kunita's estimates for moments of Levy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Levy processes; multiple Wiener-Levy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Levy-driven SDEs.
Reviews / Votes
'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.' L'Enseignement Mathematique 'The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochiastic calculus ... This book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Levy processes accessible to a broad mathematical audience.' Mathematical ReviewsMore details
Series
Edition
2nd Revised edition
Language
English
Place of publication
Cambridge
United Kingdom
Target group
College/higher education
Edition type
Revised edition
Product notice
Paperback (trade)
Illustrations
Worked examples or Exercises
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 29 mm
Weight
792 gr
ISBN-13
978-0-521-73865-1 (9780521738651)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions

David Applebaum
Levy Processes and Stochastic Calculus
E-Book
05/2009
2nd Edition
Cambridge University Press
€82.99
Available for download
Previous edition

David Applebaum
Levy Processes and Stochastic Calculus
Book
07/2004
Cambridge University Press
€68.09
Article exhausted; check for reprint
Person
David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.
Content
Preface to second edition; Preface to first edition; Overview; Notation; 1. Levy processes; 2. Martingales, stopping times and random measures; 3. Markov processes, semigroups and generators; 4. Stochastic integration; 5. Exponential martingales; 6. Stochastic differential equations; References; Index of notation; Subject index.