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Stochastic Calculus for Fractional Brownian Motion and Related Processes

2008-01-02 Mathematics
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Release : 2008-01-02
Genre : Mathematics
Kind : eBook
Book Rating : 720/5 ( reviews)

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Book Synopsis Stochastic Calculus for Fractional Brownian Motion and Related Processes by : Yuliya Mishura

Download or read book Stochastic Calculus for Fractional Brownian Motion and Related Processes written by Yuliya Mishura. This book was released on 2008-01-02. Available in PDF, EPUB and Kindle. Book excerpt: This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

Stochastic Calculus for Fractional Brownian Motion and Applications

2008-02-17 Mathematics
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Release : 2008-02-17
Genre : Mathematics
Kind : eBook
Book Rating : 979/5 ( reviews)

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Book Synopsis Stochastic Calculus for Fractional Brownian Motion and Applications by : Francesca Biagini

Download or read book Stochastic Calculus for Fractional Brownian Motion and Applications written by Francesca Biagini. This book was released on 2008-02-17. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Calculus for Fractional Brownian Motion and Related Processes

2008 Distribution (Probability theory)
Download Stochastic Calculus for Fractional Brownian Motion and Related Processes PDF Online Free

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Release : 2008
Genre : Distribution (Probability theory)
Kind : eBook
Book Rating : 875/5 ( reviews)

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Book Synopsis Stochastic Calculus for Fractional Brownian Motion and Related Processes by : Yuliya S. Mishura

Download or read book Stochastic Calculus for Fractional Brownian Motion and Related Processes written by Yuliya S. Mishura. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: 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

Stochastic Calculus for Fractional Brownian Motion and Applications

2009-10-12 Mathematics
Download Stochastic Calculus for Fractional Brownian Motion and Applications PDF Online Free

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Release : 2009-10-12
Genre : Mathematics
Kind : eBook
Book Rating : 939/5 ( reviews)

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Book Synopsis Stochastic Calculus for Fractional Brownian Motion and Applications by : Francesca Biagini

Download or read book Stochastic Calculus for Fractional Brownian Motion and Applications written by Francesca Biagini. This book was released on 2009-10-12. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Analysis of Variations for Self-similar Processes

2013-08-13 Mathematics
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Release : 2013-08-13
Genre : Mathematics
Kind : eBook
Book Rating : 362/5 ( reviews)

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Book Synopsis Analysis of Variations for Self-similar Processes by : Ciprian Tudor

Download or read book Analysis of Variations for Self-similar Processes written by Ciprian Tudor. This book was released on 2013-08-13. Available in PDF, EPUB and Kindle. Book excerpt: Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus.

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