Stochastic Calculus for Fractional Brownian Motion and Related Processes
The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Le...
Uloženo v:
| Hlavní autor: | |
|---|---|
| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Vydání: | 1st ed. 2008. |
| Edice: | Lecture Notes in Mathematics
1929 |
| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Poznámka: |
L'impression du document génère 410 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Variante du titre: | Fractional Brownian motion and related processes |
| Edition sous un autre format: | • Stochastic calculus for fractional Brownian motion and related processes, Yuliya S. Mishura, 2008, Berlin, Springer, 1 vol. (XVII-393 p.), Lecture notes in mathematics, 978-3-540-75872-3 |
| LEADER | 03766nam a22004457a 4500 | ||
|---|---|---|---|
| 001 | 940402 | ||
| 008 | 080626q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN125217803 | ||
| 020 | |a 9783540758730 | ||
| 041 | 0 | |a eng | |
| 082 | |a 530.4750151922 | ||
| 082 | |a 510 | ||
| 100 | 1 | |a Mishura, Yuliya S., |d 1952- | |
| 240 | 1 | 0 | |a Fractional Brownian motion and related processes |
| 245 | 1 | 0 | |a Stochastic Calculus for Fractional Brownian Motion and Related Processes |c Yuliya S. Mishura. |
| 250 | |a 1st ed. 2008. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a Lecture Notes in Mathematics |v 1929 |x 1617-9692 | |
| 500 | |a L'impression du document génère 410 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a Wiener Integration with Respect to Fractional Brownian Motion Stochastic Integration with Respect to fBm and Related Topics Stochastic Differential Equations Involving Fractional Brownian Motion Filtering in Systems with Fractional Brownian Noise Financial Applications of Fractional Brownian Motion Statistical Inference with Fractional Brownian Motion. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0<H<1/2 of Hurst index, the conditions of existence and uniqueness of solutions to SDE involving additive Wiener integrals, and of solutions of the mixed Brownian-fractional Brownian SDE. The author develops optimal filtering of mixed models including linear case, and studies financial applications and statistical inference with hypotheses testing and parameter estimation. She proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market. | ||
| 650 | |a Analyse stochastique | ||
| 650 | |a Processus de mouvement brownien |x Modèles mathématiques | ||
| 650 | |a Théorie des jeux | ||
| 650 | |a Probabilités | ||
| 650 | |a Mathématiques | ||
| 650 | |a Ordres stochastiques | ||
| 776 | 0 | |0 120129787 |t Stochastic calculus for fractional Brownian motion and related processes |f Yuliya S. Mishura |d 2008 |c Berlin |n Springer |p 1 vol. (XVII-393 p.) |s Lecture notes in mathematics |z 978-3-540-75872-3 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-540-75873-0 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-5GZDHS45-P |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:747861099 |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-540-75873-0 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750878606 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-3-540-75873-0 |z Accès INSA CVL | |
| 997 | |0 940402 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||