Stochastic Calculus for Fractional Brownian Motion and Applications - Couverture souple

Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng

Couverture souple

ISBN 10 : 1849969949 ISBN 13 : 9781849969949

Editeur : Springer, 2010

Synopsis

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, and it’s also what makes this book such an important contribution to the field. The purpose of the text here 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.

A propos du livre

Présentation de l'éditeur

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.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2010
• Langue: anglais
• ISBN 10: 1849969949
• ISBN 13: 9781849969949
• Reliure: Broché
• Nombre de pages: 344
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Allemagne