Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics)
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Описание:
but there are better books out there on stochastic calculusand Levy processes. The material covered is essentially a rewriting of existing mathematics. There are also minor math mistakes throughout. For example on page 197, the definition
of stochastic integration and the definition of random
measures on page 89 are consistent for defining stochastic
integration with respect to Brownian motion only if we
we assume Brownian motion is a function of finite variation which is not.
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