Lévy processes and stochastic calculus
Auteur :
Applebaum, David
Éditeur :
Cambridge University Press
ISBN :
9780521738651
Date de publication :
30 avr. 2009
Dimensions :
22,6 x 15,0 x 2,5 cm
Poids :
730 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Grande Bretagne
A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Lévy processes with finite variation, multiple Wiener-Lévy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Lévy-driven SDEs.