简明Levy过程课件.pptVIP

Levy Processes-From Probability to Finance Anatoliy Swishchuk, Mathematical and Computational Finance Laboratory, Department of Mathematics and Statistics, U of C “Lunch at the Lab” Talk February 3, 2005 Outline Introduction: Probability and Stochastic Processes The Structure of Levy Processes Applications to Finance The talk is based on the paper by David Applebaum (University of Sheffield, UK), Notices of the AMS, Vol. 51, No 11. Introduction: Probability Theory of Probability: aims to model and to measure the ‘Chance’ The tools: Kolmogorov’s theory of probability axioms (1930s) Probability can be rigorously founded on measure theory Introduction: Stochastic Processes Theory of Stochastic Processes: aims to model the interaction of ‘Chance’ and ‘Time’ Stochastic Processes: a family of random variables (X(t), t=0) defined on a probability space (Omega, F, P) and taking values in a measurable space (E,G) X(t) is a (E,G) measurable mapping from Omega to E: a random observation made on E at time t Importance of Stochastic Processes Not only mathematically rich objects Applications: physics, engineering, ecology, economics, finance, etc. Examples: random walks, Markov processes, semimartingales, measure-valued diffusions, Levy Processes, etc. Importance of Levy Processes There are many important examples: Brownian motion, Poisson Process, stable processes, subordinators, etc. Generalization of random walks to continuous time The simplest classes of jump-diffusion processes A natural models of noise to build stochastic integrals and to drive SDE Their structure is mathematically robust Their structure contains many features that generalize naturally to much wider classes of processes, such as semimartingales, Feller-Markov processes, etc. Main Original Contributors to the Theory of Levy Processes: 1930s-1940s Paul Levy (France) Alexander Khintchine (Russia) Kiyosi Ito (Japan) Paul Levy (1886-1971) Main Original Papers Levy P. Sur les integrales dont les element