Fractional Brownian motion (f Bm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes f Bm an interesting object of study. Several approaches have been used to develop the concept of stochastic calculus for f Bm. The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for f Bm, 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.
Francesca Biagini & Yaozhong Hu
Stochastic Calculus for Fractional Brownian Motion and Applications [PDF ebook]
Stochastic Calculus for Fractional Brownian Motion and Applications [PDF ebook]
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язык английский ● Формат PDF ● страницы 330 ● ISBN 9781846287978 ● Размер файла 3.1 MB ● издатель Springer London ● город London ● Страна GB ● опубликованный 2008 ● Загружаемые 24 месяцы ● валюта EUR ● Код товара 2151586 ● Защита от копирования Социальный DRM