Stochastic Calculus for Fractional Brownian Motion and Applications
(Sprache: Englisch)
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...
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Produktinformationen zu „Stochastic Calculus for Fractional Brownian Motion and Applications “
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.
Klappentext zu „Stochastic Calculus for Fractional Brownian Motion and Applications “
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.
Inhaltsverzeichnis zu „Stochastic Calculus for Fractional Brownian Motion and Applications “
Fractional Brownian motion.- Intrinsic properties of the fractional Brownian motion.- Stochastic calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2.- WickItô Skorohod (WIS) integrals for fractional Brownian motion.- Pathwise integrals for fractional Brownian motion.- A useful summary.- Applications of stochastic calculus.- Fractional Brownian motion in finance.- Stochastic partial differential equations driven by fractional Brownian fields.- Stochastic optimal control and applications.- Local time for fractional Brownian motion.
Bibliographische Angaben
- Autoren: Francesca Biagini , Yaozhong Hu , Bernt Øksendal , Tusheng Zhang
- 2008, XII, 330 Seiten, Masse: 15,9 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, Berlin
- ISBN-10: 1852339969
- ISBN-13: 9781852339968
- Erscheinungsdatum: 25.02.2008
Sprache:
Englisch
Rezension zu „Stochastic Calculus for Fractional Brownian Motion and Applications “
From the reviews: "The development of stochastic integration with respect to fBm continues to be a very active area of research ... became a necessity to collect the different approaches into a single monograph, in order to allow researchers in this field to have a general and quick view of the state of the art. This book very nicely attains this aim, and I can recommend it to any person interested in fractional Brownian motion." (Ivan Nourdin, Mathematical Reviews, Issue 2010 a)
Pressezitat
From the reviews: "The development of stochastic integration with respect to fBm continues to be a very active area of research ... became a necessity to collect the different approaches into a single monograph, in order to allow researchers in this field to have a general and quick view of the state of the art. This book very nicely attains this aim, and I can recommend it to any person interested in fractional Brownian motion." (Ivan Nourdin, Mathematical Reviews, Issue 2010 a)
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