Lévy Processes and Stochastic Calculus

DOI10.1017/CBO9780511809781zbMath1200.60001OpenAlexW3022439851MaRDI QIDQ3627586

David Applebaum

Publication date: 13 May 2009

Full work available at URL: https://doi.org/10.1017/cbo9780511809781

zbMATH Keywords

regular variationLyapunov function for SDEstochastic integration for Lévy processesstochastic ordinary differential equations for Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Random measures (60G57) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)