Levy过程参考文献清单_百度文库.doc

一课资料网/Levy 过程参考文献清单 Levy Processes在概率论中,以法国科学家 Paul Levy命名的 L vy processes,是一个连续时间的随机过程, 并且满足:从 0开始, 左极右连 , 独立的增量等。 其中最有名的是泊松过程 (poisson processes 以及维纳过程 (wiener processes。 教材1. Levy Processes and Stochastic Calculus 平装 David Applebaum (作者 由亚马逊直接销售和发货。出版社 : Cambridge University Press丛书名 : Cambridge Studies in Advanced Mathematics (Paperback平装 : 460页正文语种 : 英语 ISBN: 0521738652条形码 : 9780521738651商品尺寸 : 22.6 x 15 x 2.5 cm商品重量 : 726 g ASIN: 0521738652Levy 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 include: regular variation and subexponential distributions; necessary and sufficient conditions for Levy processes to have finite moments; characterization of Levy processes with finite variation; Kunitas estimates for moments of Levy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Levy processes; multiple Wiener-Levy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Levy-driven SDEs.2. Stochastic Partial Differential Equations Driven by Levy Processes, S. Peszat, J. Zabczyk, Springer, 20063. Levy Processes and Infinite Divisible Distributions, K. I. Sato, Cambridge University Press, 1999第一章 Levy 过程的基本理论1.1 预备知识1.2 Levy过程1.3 Levy半群1.4 Levy过程的随机积分第二章 由 Levy 过程驱动的随机微分方程1.1 由 Levy 过程驱动的随机微分方程的存在与惟一性1.2 由 Levy 过程驱动的随机偏微分方程1.3 由 Levy 过程驱动的随机微分方程的边界问题第三章 Levy 过程的应用 论文解的问题 On stationary solutions of delay differential equations driven by a Lvy process Stochastic Processes and their Applications, Volume 88, Issue 2, August 2000, Pages 195-211 Alexander A. Gushchin, Uwe Kchler数值计算 Numerical simulation of the solution of a stochastic differential equation driven by a Lvy processStochastic Processes and their Applications, Volume 103, Issue 2, February 2003, Pages 311-349 Sylvain Rubenthaler时滞系统 Delay differential equations driven by Lvy processes: Stationarity and Feller properties Stochastic Processes and their Applications, V olume 116, Issue 10, October 2006, Pages 1409-1432M. Rei, M. Riedle, O. van GaansWen Lv; Cunxia Liu; , Backward stochastic V olterra integral equations driven by a Lvy process, Education Technology and Co