Dirichlet Forms Methods For Poisson Point Measures And Levy Processes: With Emphasis On The Creation-annihilation Techniques

March 21, 2019|
Dirichlet Forms Methods For Poisson Point Measures And Levy Processes: With Emphasis On The Creation-annihilation Techniques by Nicolas Bouleau
$198.95
Paperback
Earn 995 plum® points
Buy Online
Ship to an address
Free shipping on orders over $35
Pick up in store
To see if pickup is available,
Buy In Store
Not sold in stores
Prices and offers may vary in store

about

A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the "lent particle method" it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics). Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Lévy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.
Laurent Denis is currently professor at the Université du Maine. He has been head of the department of mathematics at the University of Evry (France). He is a specialist in Malliavin calculus, the theory of stochastic partial differential equations and mathematical finance.Nicolas Bouleau is emeritus professor at the Ecole...
Loading
Title:Dirichlet Forms Methods For Poisson Point Measures And Levy Processes: With Emphasis On The Creation-annihilation Techniques
Format:Paperback
Product dimensions:323 pages, 9.25 X 6.1 X 0 in
Shipping dimensions:323 pages, 9.25 X 6.1 X 0 in
Published:March 21, 2019
Publisher:Springer Nature
Language:English
Appropriate for ages:All ages
ISBN - 13:9783319798455

Look for similar items by category:

Recently Viewed
|