Lévy Processes and Stochastic Calculus

@inproceedings{Applebaum2004LvyPA,
  title={L{\'e}vy Processes and Stochastic Calculus},
  author={David Applebaum},
  year={2004}
}
Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Levy processes, then leading on to develop the stochastic calculus for Levy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These… 

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