Stochastic Calculus for Fractional Brownian Motion and Applications (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
330
Utgivningsdatum
2008-02-01
Upplaga
2008 ed.
Förlag
Springer London Ltd
Medarbetare
Hu, Yaozhong
Illustrationer
XII, 330 p.
Dimensioner
240 x 160 x 20 mm
Vikt
640 g
Antal komponenter
1
Komponenter
1 Hardback
ISBN
9781852339968

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Stochastic Calculus for Fractional Brownian Motion and Applications (inbunden)

Stochastic Calculus for Fractional Brownian Motion and Applications

av Francesca Biagini, Yaozhong Hu, Bernt Oksendal, Tusheng Zhang
Inbunden Engelska, 2008-02-01
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The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.
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  1. Stochastic Calculus for Fractional Brownian Motion and Applications
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  3. Stochastic Partial Differential Equations

De som köpt den här boken har ofta också köpt Stochastic Partial Differential Equations av Helge Holden, Bernt Oksendal, Jan Uboe, Tusheng Zhang (häftad).

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Francesca Biagini, Yaozhong Hu, Bernt Oksendal, Tusheng Zhang

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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)

Innehållsförteckning

Fractional Brownian motion.- Intrinsic properties of the fractional Brownian motion.- Stochastic calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick Ito Skorohod (fWIS) integrals for fBm of Hurst index H >1/2.- WickIto 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.