Levy processes and stochastic calculus

✍ Scribed by David Applebaum

Publisher: Cambridge University Press
Year: 2004
Tongue: English
Leaves: 408
Series: Cambridge studies in advanced mathematics 93
Edition: 1
Category: Library

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Levy processes and stochastic calculus

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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. Here, the author ties these two subjects together, beginning with an introduction to the general t

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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 me

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