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...
Enregistré dans:
| Hovedforfatter: | |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2008. |
| Serier: | Lecture Notes in Mathematics
1929 |
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
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 |
Indholdsfortegnelse:
- 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.