Stochastic Calculus for Fractional Brownian Motion and Related Processes
Mishura, Yuliya S.
Stochastic Calculus for Fractional Brownian Motion and Related Processes [electronic resource] / by Yuliya S. Mishura. - XVIII, 398 p. online resource. - Lecture Notes in Mathematics, 1929 0075-8434 ; . - Lecture Notes in Mathematics, 1929 .
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.
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
9783540758730
10.1007/978-3-540-75873-0 doi
Distribution (Probability theory.
Mathematics.
Probability Theory and Stochastic Processes.
Game Theory, Economics, Social and Behav. Sciences.
QA273.A1-274.9 QA274-274.9
519.2
Stochastic Calculus for Fractional Brownian Motion and Related Processes [electronic resource] / by Yuliya S. Mishura. - XVIII, 398 p. online resource. - Lecture Notes in Mathematics, 1929 0075-8434 ; . - Lecture Notes in Mathematics, 1929 .
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.
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
9783540758730
10.1007/978-3-540-75873-0 doi
Distribution (Probability theory.
Mathematics.
Probability Theory and Stochastic Processes.
Game Theory, Economics, Social and Behav. Sciences.
QA273.A1-274.9 QA274-274.9
519.2