Integral transformations and anticipative calculus for fractional Brownian motions:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Providence, R.I.
American Mathematical Society
2005
|
| Schriftenreihe: | Memoirs of the American Mathematical Society
825 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | "Volume 175, number 825 (first of 4 numbers)." Includes bibliographical references |
| Beschreibung: | VII, 127 S. |
| ISBN: | 0821837044 |
Internformat
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| 100 | 1 | |a Hu, Yaozhong |e Verfasser |0 (DE-588)171537858 |4 aut | |
| 245 | 1 | 0 | |a Integral transformations and anticipative calculus for fractional Brownian motions |c Yaozhong Hu |
| 264 | 1 | |a Providence, R.I. |b American Mathematical Society |c 2005 | |
| 300 | |a VII, 127 S. | ||
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| 490 | 1 | |a Memoirs of the American Mathematical Society |v 825 | |
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| 500 | |a Includes bibliographical references | ||
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| 650 | 7 | |a Gauss-processen |2 gtt | |
| 650 | 7 | |a Integraaltransformaties |2 gtt | |
| 650 | 7 | |a Integrais estocasticas |2 larpcal | |
| 650 | 7 | |a Processos gaussianos |2 larpcal | |
| 650 | 7 | |a Stochastische integratie |2 gtt | |
| 650 | 4 | |a Stochastic integrals | |
| 650 | 4 | |a Gaussian processes | |
| 650 | 4 | |a Fractional calculus | |
| 650 | 4 | |a Integral transforms | |
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Datensatz im Suchindex
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| adam_text | Contents
Abstract vii
Chapter 1. Introduction 1
Chapter 2. Representations 7
Chapter 3. Induced Transformation I 15
Chapter 4. Approximation 19
4.1. Rate of Convergence When 0 H 1/2 19
4.2. Rate of Convergence When 1/2 H 1 21
4.3. Higher Order of Convergence When 3/4 H 1 23
4.4. Best Approximation 25
Chapter 5. Induced Transformation II 27
5.1. Operators Associated With Zn(t. $) 27
5.2. Inverse Operator of Wh.t 29
5.3. MH,TFH,T when 1/2 H 1 29
5.4. Th,tWh.t for 1/2 H 1 30
5.5. Mh.tFh.t for 0 H 1/2 33
5.6. TH.TmH.T for 0 H 1/2 35
5.7. Transpose of Th.t 36
5.8. The Expression for TH,TT*HT 38
5.9. The transpose of B#.r 39
5.10. The Expression of B^j lf/.r 41
5.11. Extension of T*HT and B*HT 43
5.12. Representation of Brownian motion by fractional Brownian motion 44
Chapter 6. Stochastic Calculus of Variation 45
6.1. Stochastic Integral for Deterministic Integrands 45
6.2. A Probability Structure Preserving Mapping 46
6.3. Stochastic Integral for General Integrands 49
6.4. Malliavin Derivatives 50
6.5. Note on Stochastic Integral for fBm 58
Chapter 7. Stochastic Integration 61
7.1. Existence and Examples 61
7.2. Stochastic Integral /0 /(tfdB}1 of different upper limits 65
7.3. An Lp estimate 65
7.4. An Example 67
V
vi CONTENTS
Chapter 8. Nonlinear Translation (Absolute Continuity) 71
Chapter 9. Conditional Expectation 79
Chapter 10. Integration By Parts 87
Chapter 11. Composition (Ito Formula) 95
Chapter 12. Clark Type Representation 105
Chapter 13. Continuation 109
Chapter 14. Stochastic Control 117
Chapter 15. Appendix 121
Bibliography 123
|
| any_adam_object | 1 |
| author | Hu, Yaozhong |
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| id | DE-604.BV019820662 |
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| indexdate | 2024-07-09T20:06:53Z |
| institution | BVB |
| isbn | 0821837044 |
| language | English |
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| physical | VII, 127 S. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
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| publisher | American Mathematical Society |
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| series | Memoirs of the American Mathematical Society |
| series2 | Memoirs of the American Mathematical Society |
| spelling | Hu, Yaozhong Verfasser (DE-588)171537858 aut Integral transformations and anticipative calculus for fractional Brownian motions Yaozhong Hu Providence, R.I. American Mathematical Society 2005 VII, 127 S. txt rdacontent n rdamedia nc rdacarrier Memoirs of the American Mathematical Society 825 "Volume 175, number 825 (first of 4 numbers)." Includes bibliographical references Brownse beweging gtt Cálculo operacional larpcal Gauss-processen gtt Integraaltransformaties gtt Integrais estocasticas larpcal Processos gaussianos larpcal Stochastische integratie gtt Stochastic integrals Gaussian processes Fractional calculus Integral transforms Integraltransformation (DE-588)4027235-7 gnd rswk-swf Gauß-Prozess (DE-588)4156111-9 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 s Gauß-Prozess (DE-588)4156111-9 s Integraltransformation (DE-588)4027235-7 s b DE-604 Memoirs of the American Mathematical Society 825 (DE-604)BV008000141 825 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013145937&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hu, Yaozhong Integral transformations and anticipative calculus for fractional Brownian motions Memoirs of the American Mathematical Society Brownse beweging gtt Cálculo operacional larpcal Gauss-processen gtt Integraaltransformaties gtt Integrais estocasticas larpcal Processos gaussianos larpcal Stochastische integratie gtt Stochastic integrals Gaussian processes Fractional calculus Integral transforms Integraltransformation (DE-588)4027235-7 gnd Gauß-Prozess (DE-588)4156111-9 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| subject_GND | (DE-588)4027235-7 (DE-588)4156111-9 (DE-588)4126478-2 |
| title | Integral transformations and anticipative calculus for fractional Brownian motions |
| title_auth | Integral transformations and anticipative calculus for fractional Brownian motions |
| title_exact_search | Integral transformations and anticipative calculus for fractional Brownian motions |
| title_full | Integral transformations and anticipative calculus for fractional Brownian motions Yaozhong Hu |
| title_fullStr | Integral transformations and anticipative calculus for fractional Brownian motions Yaozhong Hu |
| title_full_unstemmed | Integral transformations and anticipative calculus for fractional Brownian motions Yaozhong Hu |
| title_short | Integral transformations and anticipative calculus for fractional Brownian motions |
| title_sort | integral transformations and anticipative calculus for fractional brownian motions |
| topic | Brownse beweging gtt Cálculo operacional larpcal Gauss-processen gtt Integraaltransformaties gtt Integrais estocasticas larpcal Processos gaussianos larpcal Stochastische integratie gtt Stochastic integrals Gaussian processes Fractional calculus Integral transforms Integraltransformation (DE-588)4027235-7 gnd Gauß-Prozess (DE-588)4156111-9 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| topic_facet | Brownse beweging Cálculo operacional Gauss-processen Integraaltransformaties Integrais estocasticas Processos gaussianos Stochastische integratie Stochastic integrals Gaussian processes Fractional calculus Integral transforms Integraltransformation Gauß-Prozess Stochastisches Integral |
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