Lévy Processes and Stochastic Calculus

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Cambridge University Press, 2004. 7. 5. - 384페이지
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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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part 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.
 

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목차

Martingales stopping times and random measures
70
Markov processes semigroups and generators
120
Stochastic integration
190
Exponential martingales change of measure and financial
246
Stochastic differential equations
292
References
360
Index of notation
375
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저자 정보 (2004)

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.

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