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Editorial Reviews
Review
'... the monograph closes the gap between classical textbooks on stochastic analysis where either Brownian motion or general semimartingales are considered. ... Besides standard results on existence and uniqueness of a solution and its Markov property, more advanced concepts are presented, such as representation of the solutions as Feller processes and as a stochastic flow.' Zentralblatt MATH
Product Description
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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Lévy processes, he 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.
See all Editorial Reviews
'... the monograph closes the gap between classical textbooks on stochastic analysis where either Brownian motion or general semimartingales are considered. ... Besides standard results on existence and uniqueness of a solution and its Markov property, more advanced concepts are presented, such as representation of the solutions as Feller processes and as a stochastic flow.' Zentralblatt MATH
Product Description
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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Lévy processes, he 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.
See all Editorial Reviews
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