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Dirichlet Forms Methods for Poisson Point Measures and Levy Processes: With Emphasis on the Creation-Annihilation Techniques
Nicolas Bouleau
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Description for Dirichlet Forms Methods for Poisson Point Measures and Levy Processes: With Emphasis on the Creation-Annihilation Techniques
Hardback. .
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 ... Read more
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 ... Read more
Product Details
Publisher
Springer International Publishing AG
Format
Hardback
Publication date
2015
Series
Probability Theory and Stochastic Modelling
Condition
New
Number of Pages
323
Place of Publication
Cham, Switzerland
ISBN
9783319258188
SKU
V9783319258188
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Nicolas Bouleau
Laurent Denis is currently professor at the Universite 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 des Ponts ParisTech. He is known for ... Read more
Reviews for Dirichlet Forms Methods for Poisson Point Measures and Levy Processes: With Emphasis on the Creation-Annihilation Techniques
This book is based on a course given at the Institute Henri Poincare in Paris, in 2011. ... this is a deep book that is very well written and could be interesting to anybody working with jump diffusion stochastic models. (Josep Vives, Mathematical Reviews, February, 2017)