000			01646 a2200217 4500
005			20181126122353.0
008			181122b xxu||||| |||| 00| 0 eng d
020			_a9780521738651
040			_cIIT Kanpur
041			_aeng
082			_a519.22 _bAp52l2
100			_aApplebaum, David
245			_aLevy processes and stochastic calculus _cDavid Applebaum
250			_a2nd ed.
260			_bCambridge University Press _c2009 _aCambridge
300			_axxx, 460p
440			_aCambridge studies in advanced mathematics / edited by B. Bollobas; v.116
520			_aLévy 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 Lévy processes, then leading on to develop the stochastic calculus for Lévy 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 Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.
650			_aStochastic analysis
942			_cBK
999			_c559540 _d559540