Stochastic Calculus for Fractional Brownian Motion and Applications
Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. fBm represents a natural one-parameter extension of classical Brownian motion therefore...
Guardat en:
| Autors principals: | , , , |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
London :
Springer London
[20..].
Cham : Springer Nature |
| Edició: | 1st ed. 2008. |
| Col·lecció: | Probability and Its Applications
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| Matèries: | |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
L'impression du document génère 327 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini, Yaozhong Hu, Bernt Oksendal ... [et al.], London, Springer, 2008, 1 vol. (XII-329 p.), Probability and its applications, 978-1-85233-996-8 |
Taula de continguts:
- 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