Fractional S(p)des: Theory, Numerics, And Optimal Control - Couverture rigide

 
9789819802098: Fractional S(p)des: Theory, Numerics, And Optimal Control
Couverture rigide
ISBN 10 : 9819802091 ISBN 13 : 9789819802098
Editeur : WSPC, 2025

Synopsis

Recent breakthroughs in volatility modelling have brought fractional stochastic calculus to a groundbreaking position. Readers of Fractional S(P)DEs will find a unique and comprehensive overview encompassing the theory and the numerics of both ordinary and partial differential equations (SDEs and SPDEs, respectively), driven by fractional Brownian motion. Within this book, both differential equations are considered with fractional noise, while also considering fractional derivatives in the case of SPDEs. Three primary aspects are pursued: Theory and numerics for rough SPDEs; Optimal control of both SDEs and SPDEs driven by fractional Brownian motions (and their applications); And numerics for time-fractional SPDEs driven by both Gaussian and non-Gaussian noises. This series of complementary articles, compiled by two internationally renowned scientists, is united by a common application-oriented view of fractional Brownian motion and its stochastic calculus. As such, this book will be particularly useful for mathematicians working in the fields of stochastics applied in Finance and Natural Sciences, as well as those preparing courses on advanced stochastic processes.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
WSPC
Date d'édition
2025
Langue
anglais
ISBN 10 
9819802091
ISBN 13 
9789819802098
Reliure
Relié
Nombre de pages
286
Éditeur
Grecksch Wilfried, Lisei Hannelore
Coordonnées du fabricant
World Scientific Publishing
https://www.worldscientific.com/

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