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Levy Processes & Stochastic Calculus

introduction to the general theory of Levy processes, then leading on to develop the stochastic calculus for Levy processes in a direct and accessible;

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Probability on Real Lie Algebras

-commutative couples of random variables, non-commutative stochastic processes with independent increments (quantum Levy processes), and the quantum;

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Malliavin Calculus For Levy Processes And Infinite-Dimension

, Levy processes, multiple stochastic integrals, chaos decomposition, Malliavin derivative, Clark-Ocone formula, Skorohod integral processes and;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Stochastic Processes for Physicists

provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure;

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Basic Stochastic Processes

This book presents basic stochastic processes, stochastic calculus including Levy processes on one hand, and Markov and Semi Markov models;

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Levy Matters III: Levy-Type Processes

This volume presents recent developments in the area of Levy-type processes and more general stochastic processes that behave locally like;

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Semimartingale Theory and Stochastic Calculus

Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the;

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Levy Processes And Infinitely Divisible Distributions

Levy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time;

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Levy Processes and Infinitely Divisible Distributions

Levy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time;

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Lévy Processes in Lie Groups

The theory of Levy processes in Lie groups is not merely an extension of the theory of Levy processes in Euclidean spaces. Because of the;

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Student's t-Distribution and Related Stochastic Processes

distribution. These results allow us to define and analyse Student-Levy processes as Thorin subordinated Gaussian Levy processes. A broad class of one;

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Malliavin Calculus for Levy Processes with Applications to Finance

, Malliavin calculus has found many applications in stochastic control and within ?nance. At the same time, L' evy processes have become important;

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Stochastic Calculus and Differential Equations for Physics and Finance

"""Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many;

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Probability and Stochastics

theories of Markov processes, point processes, stochastic calculus, and stochastic flows. The book is full of insights and observations that only a;

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Stochastic Methods in Asset Pricing

stochastic calculus with jumps and Levy processes. For asset pricing, the book begins with a brief overview of risk preferences and general;

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Simulation and Inference for Stochastic Processes with Yuima: A Comprehensive R Framework for Sdes and Other Stochastic Processes

differential equations driven by Wiener process, Levy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The;

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Optional Processes

unusual probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form;

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Fractional Calculus and Fractional Processes with Applications to Financial Economics

fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as;

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Encyclopedia of Mathematics and its Applications

kernel Hilbert spaces; cylindrical Levy processes are constructed in terms of Poisson random measures; stochastic integrals are introduced;

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Stochastic Calculus for Quantitative Finance

investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance;

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An Introduction to Continuous-Time Stochastic Processes

processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete;

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Topics in stochastic processes

The notes are based on lectures on stochastic processes given at Scuola Normale Superiore in 1999 and 2000. Some new material was added and;

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Quantum Stochastic Processes and Noncommutative Geometry

The classical theory of stochastic processes has important applications arising from the need to describe irreversible evolutions;

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Brownian Motion and Stochastic Calculus

stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example;

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Stochastic Processes

Well-written and accessible, this classic introduction to stochastic processes and related mathematics is appropriate for advanced;

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