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About Lévy Processes and Stochastic Calculus
but there are better books out there on stochastic calculusand 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 definitionof stochastic integration and the definition of randommeasures on page 89 are consistent for defining stochasticintegration with respect to Brownian motion only if wewe assume Brownian motion is a function of finite variation which is not.
Detailed Information
| Author: | David Applebaum |
|---|---|
| Publication Year: | 2009 |
| ISBN: | 521738652 |
| Pages: | 492 |
| Language: | English |
| File Size: | 2.694 |
| Format: | |
| Price: | FREE |
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