Levy Processes and Stochastic Calculus

Levy Processes and Stochastic Calculus

Levy Processes and Stochastic Calculus

od Applebaum David

2796 běžně 3289 Kč

Nyní není možné dodat.

Za kolik Vám produkt zašleme?
nejlevněji přes Zásilkovna ........ 59 Kč   doručení na více jak 2700 výdejních míst v ČR i SR

Ceny jsou uvedeny s DPH.

Popis titulu

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.

ISBN: 9780521738651

EAN: 9780521738651

Jazyk vydání: anglicky

Autor: Applebaum David

Obsahuje: Knihy - paperback

Rok vydání: 2014-05-12


Produkt naleznete v těchto kategoriích

Jazykové učebnice
Jazykové učebniceAngličtina - beletrie


Košík:

0

Login | Nová registrace

Nevíte si rady? Potřebujete pomoc? Zavolejte nám na tel: 381 214 697