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Lévy Processes and Stochastic Calculus

✍ Scribed by David Applebaum

Publisher
Cambridge University Press
Year
2004
Tongue
English
Leaves
409
Series
Cambridge Studies in Advanced Mathematics 93
Edition
1
Category
Library
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✦ Synopsis

L?vy 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 L?vy processes, he accessibly develops the stochastic calculus for L?vy processes. All the tools needed for the stochastic approach to option pricing, including It?'s formula, Girsanov's theorem and the martingale representation theorem, are described.

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