Lévy Processes and Stochastic Calculus
David Applebaum
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
measures on page 89 are consistent for defining stochastic
integration with respect to Brownian motion only if we
we assume Brownian motion is a function of finite variation which is not.
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
measures on page 89 are consistent for defining stochastic
integration with respect to Brownian motion only if we
we assume Brownian motion is a function of finite variation which is not.
კატეგორია:
წელი:
2009
გამოცემა:
2
გამომცემლობა:
Cambridge University Press
ენა:
english
გვერდები:
492
ISBN 13:
9780521738651
სერია:
Cambridge Studies in Advanced Mathematics 116
ფაილი:
PDF, 2.69 MB
IPFS:
,
english, 2009
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