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Stochastic Calculus for Fractional Brownian Motion and Related Processes

Mishura Yuliya
Heftet / 2007 / Engelsk

Produktdetaljer

ISBN
9783540758723
Publisert
2007-11-30
Utgiver
Vendor
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Research, UU, UP, 05
Språk
Product language
Engelsk
Format
Product format
Heftet

Forfatter
Mishura Yuliya

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Mishura Yuliya
Heftet / 2007 / Engelsk
Mishura Yuliya
Heftet / 2007 / Engelsk
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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.
Les mer
Examines the theory of fractional Brownian motion and other long-memory processes.
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.
Les mer

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

Les mer
Includes supplementary material: sn.pub/extras
GPSR Compliance The European Union's (EU) General Product Safety Regulation (GPSR) is a set of rules that requires consumer products to be safe and our obligations to ensure this. If you have any concerns about our products you can contact us on ProductSafety@springernature.com. In case Publisher is established outside the EU, the EU authorized representative is: Springer Nature Customer Service Center GmbH Europaplatz 3 69115 Heidelberg, Germany ProductSafety@springernature.com
Les mer

Relaterte produkter

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.
Les mer
Examines the theory of fractional Brownian motion and other long-memory processes.
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.
Les mer

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

Les mer
Includes supplementary material: sn.pub/extras
GPSR Compliance The European Union's (EU) General Product Safety Regulation (GPSR) is a set of rules that requires consumer products to be safe and our obligations to ensure this. If you have any concerns about our products you can contact us on ProductSafety@springernature.com. In case Publisher is established outside the EU, the EU authorized representative is: Springer Nature Customer Service Center GmbH Europaplatz 3 69115 Heidelberg, Germany ProductSafety@springernature.com
Les mer

Produktdetaljer

ISBN
9783540758723
Publisert
2007-11-30
Utgiver
Vendor
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Research, UU, UP, 05
Språk
Product language
Engelsk
Format
Product format
Heftet

Forfatter
Mishura Yuliya

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