Levy Processes and Stochastic Calculus

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The book presents a comprehensive exploration of Lévy processes and their relationship with stochastic calculus, emphasizing their applications in various fields like physics and finance. It introduces the general theory of Lévy processes and develops stochastic calculus tailored for them. The revised edition includes new topics such as regular variation, conditions for finite moments, and characterizations of Lévy processes. Additionally, it covers Kunita's estimates, new proofs of key theorems, multiple Wiener-Lévy integrals, Malliavin calculus, and stability theory for Lévy-driven stochastic differential equations.