Jump SDEs and the study of their densities. A self-study book (Q2323710)

This book consists of two parts: the first part focuses on the stochastic calculus for Lévy processes, while the second part studies the densities of stochastic differential equations with jumps. The joining theme is the study first of densities of Lévy processes and then of the densities of solutions of equations driven by Lévy processes. The goal of the Part I is to give a simple and a broad overview of different types of jump processes including simple Poisson processes, compound Poisson processes, stochastic equations driven by compound Poisson processes, Poisson random measures and the definition of Lévy processes. More precisely, Chapter 1 contains some basics in probability and Chapters 2--5 are devoted to Poisson processes, one- and multi-dimensional Lévy processes and flows associated with stochastic differential equations (SDEs) with jumps. Part II describes various problems related to the densities of jump SDEs. Chapter 8 gives an overview, Chapter 9 introduces techniques to study the density. Chapter 10 contains basic ideas for integration by parts formulas for random variables that can be obtained through infinite sequence of independent random variables. Chapters 11 and 12 study sensitivity formulas and Norris method for the integration by parts, respectively. Chapter 13 is devoted to the Boltzmann equation, and Chapter 14 concludes with hints for the exercises. In general, the book is very friendly to the reader because the authors give all necessary instructions for the non-experienced reader that are also useful for any reader: detailed introduction, written and schematic correlation of chapters, useful exercises, hints for them, a detailed list of notations and index, and some ideas for the further reading in the Afterwords. Note that the book is devoted to very topical issues appearing in such fields as economy, finance, techniques and many others. Therefore, reading this book is both work and pleasure, and the book can be recommended to both undergraduate and graduate students, specialists in probability theory and its applications.