Stochastic Calculus for Fractional Brownian Motion and Applications

Häftad, Engelska, 2010

AvFrancesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang

1 779 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Inbunden

1 779 kr

Skickas inom 10-15 vardagar

Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance.

Produktinformation

Utgivningsdatum2010-10-21
Mått155 x 235 x 24 mm
Vikt530 g
FormatHäftad
SpråkEngelska
SerieProbability and Its Applications
Antal sidor330
FörlagSpringer London Ltd
ISBN9781849969949

Tillhör följande kategorier

Fractional Brownian motion.- Intrinsic properties of the fractional Brownian motion.- Stochastic calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2.- WickItô Skorohod (WIS) integrals for fractional Brownian motion.- Pathwise integrals for fractional Brownian motion.- A useful summary.- Applications of stochastic calculus.- Fractional Brownian motion in finance.- Stochastic partial differential equations driven by fractional Brownian fields.- Stochastic optimal control and applications.- Local time for fractional Brownian motion.

From the reviews: "The development of stochastic integration with respect to fBm continues to be a very active area of research ... became a necessity to collect the different approaches into a single monograph, in order to allow researchers in this field to have a general and quick view of the state of the art. This book very nicely attains this aim, and I can recommend it to any person interested in fractional Brownian motion." (Ivan Nourdin, Mathematical Reviews, Issue 2010 a)