Lévy Processes and Stochastic Calculus

DOI10.1017/CBO9780511755323zbMath1073.60002OpenAlexW1591798773MaRDI QIDQ4821951

David Applebaum

Publication date: 22 October 2004

Full work available at URL: https://doi.org/10.1017/cbo9780511755323

zbMATH Keywords

semimartingalesstochastic differential equationsMarkov processesDirichlet formsstochastic flowstochastic integralfinancial mathematics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Random measures (60G57) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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CAUCHY DISTRIBUTIONS, On the exponential process associated with a CARMA-type process, Delay geometric Brownian motion in financial option valuation, ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS, Derivative Formula and Harnack Inequality for SDEs Driven by Lévy Processes, Moment stability of fractional stochastic evolution equations with Poisson jumps, LÉVY SIMPLE STRUCTURAL MODELS, HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS, Asymptotically Compatible Fourier Spectral Approximations of Nonlocal Allen--Cahn Equations, Modelling Credit Risk in the Jump Threshold Framework, STOCHASTIC SOLUTIONS OF A CLASS OF HIGHER ORDER CAUCHY PROBLEMS IN ℝ^d, Stochastic Duality of Markov Processes: A Study Via Generators, Unnamed Item, Hedging jump risk, expected returns and risk premia in jump-diffusion economies, On Two Damage Accumulation Models and Their Size Effects, Unnamed Item, A note on chaotic and predictable representations for Itô–Markov additive processes, A semi-martingale representation for a semi-Markov chain with application to finance, Invariant foliations for stochastic dynamical systems with multiplicative stable Levy noise, Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs, On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps, Deterministic and stochastic equations of motion arising in Oldroyd fluids of order one: existence, uniqueness, exponential stability and invariant measures, Unnamed Item, The Dirichlet problem for nonlocal elliptic equations, Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations, Nonlinear fractional Laplacian problems with nonlocal ‘gradient terms’, Controllability for impulsive neutral stochastic delay partial differential equations driven by fBm and Lévy noise, Multiplicity and concentration results for a class of critical fractional Schrödinger–Poisson systems via penalization method, Controllability of nonlinear stochastic neutral fractional dynamical systems, Slow manifolds for dynamical systems with non-Gaussian stable Lévy noise, Stochastic Loewner evolution driven by Lévy processes, Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?, Saddlepoint approximations for subordinator processes, Stochastic Navier–Stokes equations perturbed by Lévy noise with hereditary viscosity, Truncated moment-generating functions of the NIG process and their applications, Optimal portfolio for an insider in a market driven by Lévy processes§, Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails, STOCHASTIC CAHN–HILLIARD PARTIAL DIFFERENTIAL EQUATIONS WITH LÉVY SPACETIME WHITE NOISES, SYMMETRIES IN LÉVY TERM STRUCTURE MODELS, Global properties of stochastic Loewner evolution driven by Lévy processes, Algebraic structures and stochastic differential equations driven by Lévy processes, Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy, Decoherence rates for Galilean covariant dynamics, Association and Other Forms of Positive Dependence for Feller Evolution Systems, Effective temperatures for single particle system under dichotomous noise, Master-slave synchronization and invariant manifolds for coupled stochastic systems, Weak Euler Approximation for Itô Diffusion and Jump Processes, Co-jumps and Markov Counting Systems in Random Environments, Design of feedback stabilisers using Wiener processes for nonlinear systems, PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME, Normalized ground states for general pseudo-relativistic Schrödinger equations, Sensitivity Estimation and Inverse Problems in Spatial Stochastic Models of Chemical Kinetics, The synchronization of coupled stochastic systems driven by symmetric α-stable process and Brownian motion, Remark on a Mittag–Leffler function of Le Roy type, Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims, $H$-Convergence Result for Nonlocal Elliptic-Type Problems via Tartar's Method, Noncommutative quantum decomposition of Gegenbauer white noise process, Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise, The relative frequency between two continuous-state branching processes with immigration and their genealogy, Well-posedness and invariant measures for 2D stochastic Oldroyd model of order one with pure jumps, Weak averaging principle for multiscale stochastic dynamical systems driven by stable processes, Decay rates of convergence for Fokker-Planck equations with confining drift, Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach, Inheritance of strong mixing and weak dependence under renewal sampling, Hedging at-the-money digital options near maturity, Numerical conservation issues for jump Pearson diffusions, Existence of positive solutions to a fractional-Kirchhoff system, Generalized solutions to equations for probabilistic characteristics of Levy processes, Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures, Multivariate stable approximation by Stein's method, Unnamed Item