Levy Processes and Stochastic Calculus

Discover the intricate world of stochastic analysis with Levy Processes and Stochastic Calculus by David Applebaum. Published in 2009 by Cambridge University Press, this comprehensive second revised edition spans 492 pages and offers a unique integration of Lévy processes and stochastic calculus in a single volume.

This edition introduces exciting new topics, including regular variation and subexponential distributions, as well as the characterization of Lévy processes with finite variation. Delve into advanced concepts such as multiple Wiener-Lévy integrals, chaos decomposition, and gain insights into Malliavin calculus and stability theory for Lévy-driven stochastic differential equations (SDEs).

Whether you're a student or a professional in the field, this book is an essential resource for deepening your understanding of these complex subjects. Enhance your library with this pivotal text today!