Stochastic Calculus for Fractional Brownian Motion and Applications
Produktnummer:
181da46c7466ee4f3dab038f7ec9918089
| Autor: | Biagini, Francesca Hu, Yaozhong Zhang, Tusheng Øksendal, Bernt |
|---|---|
| Themengebiete: | Brownian motion Markov Markov process Martingale Potential Probability theory Semimartingale Stochastic calculus calculus equation |
| Veröffentlichungsdatum: | 25.02.2008 |
| EAN: | 9781852339968 |
| Sprache: | Englisch |
| Seitenzahl: | 330 |
| Produktart: | Gebunden |
| Verlag: | Springer London |
Produktinformationen "Stochastic Calculus for Fractional Brownian Motion and Applications"
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.
Sie möchten lieber vor Ort einkaufen?
Sie haben Fragen zu diesem oder anderen Produkten oder möchten einfach gerne analog im Laden stöbern? Wir sind gerne für Sie da und beraten Sie auch telefonisch.
Juristische Fachbuchhandlung
Georg Blendl
Parcellistraße 5 (Maxburg)
8033 München
Montag - Freitag: 8:15 -18 Uhr
Samstags geschlossen