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<図書>
Lévy processes and stochastic calculus

責任表示 David Applebaum
シリーズ Cambridge studies in advanced mathematics ; 116
データ種別 図書
2nd ed
出版者 Cambridge : Cambridge University Press
出版年 c2009
本文言語 英語
大きさ xxx, 460 p. ; 23 cm
概要 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 theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a self-contained treatment of the pseudo-differential operator representation of generators of Lévy processes and their generalisations, and a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including It&ocap;'s formula, Girsanov's theorem and the martingale representation theorem.続きを見る
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所蔵情報

: pbk 理系図3F 数理独自 023212009000503 APPL/10/2a 2009

書誌詳細

一般注記 Includes bibliographical references (p. 431-448) and indexes
著者標目 *Applebaum, David, 1956-
件 名 LCSH:Lévy processes
LCSH:Stochastic integral equations
分 類 DC22:518.28
書誌ID 1001247444
ISBN 9780521738651
NCID BA89658362
巻冊次 : pbk ; ISBN:9780521738651
登録日 2009.09.18
更新日 2017.03.14

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