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9 of 12 people found the following review helpful:
3.0 out of 5 stars
ok book,
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This review is from: Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics) (Hardcover)
but there are better books out there on stochastic calculus
and Levy processes. The material covered is essentially a rewriting of existing mathematics. There are also minor math mistakes throughout. For example on page 197, the definition of stochastic integration and the definition of random measures on page 89 are consistent for defining stochastic integration with respect to Brownian motion only if we we assume Brownian motion is a function of finite variation which is not. |
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Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics) by David Applebaum (Hardcover - July 5, 2004)
Used & New from: $45.95
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