Lévy Processes and Stochastic Calculus

DOI10.1017/CBO9780511755323zbMath1073.60002MaRDI QIDQ4821951

David Applebaum

Publication date: 22 October 2004

zbMATH Keywords

semimartingales; stochastic differential equations; Markov processes; Dirichlet forms; stochastic flow; stochastic integral; financial mathematics

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G44: Martingales with continuous parameter

60G57: Random measures

60G52: Stable stochastic processes

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

60Hxx: Stochastic analysis

60-02: Research exposition (monographs, survey articles) pertaining to probability theory

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