Stochastic analysis of mixed fractional Gaussian processes:
Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic in...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London
ISTE Press
2018
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| Schlagworte: | |
| Online-Zugang: | FAW01 URL des Erstveröffentlichers |
| Zusammenfassung: | Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts |
| Beschreibung: | 1 online resource |
| ISBN: | 9780081023631 0081023634 |
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| 520 | |a Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts | ||
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| author_facet | Mishura, I͡Ulii͡a S. |
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| discipline | Mathematik |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:16:39Z |
| institution | BVB |
| isbn | 9780081023631 0081023634 |
| language | English |
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| spelling | Mishura, I͡Ulii͡a S. Verfasser aut Stochastic analysis of mixed fractional Gaussian processes London ISTE Press 2018 1 online resource txt rdacontent c rdamedia cr rdacarrier Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Gaussian processes fast Stochastic processes fast Gaussian processes Stochastic processes Zili, Mounir Sonstige oth Erscheint auch als Druck-Ausgabe 9781785482458 https://www.sciencedirect.com/science/book/9781785482458 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Mishura, I͡Ulii͡a S. Stochastic analysis of mixed fractional Gaussian processes MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Gaussian processes fast Stochastic processes fast Gaussian processes Stochastic processes |
| title | Stochastic analysis of mixed fractional Gaussian processes |
| title_auth | Stochastic analysis of mixed fractional Gaussian processes |
| title_exact_search | Stochastic analysis of mixed fractional Gaussian processes |
| title_full | Stochastic analysis of mixed fractional Gaussian processes |
| title_fullStr | Stochastic analysis of mixed fractional Gaussian processes |
| title_full_unstemmed | Stochastic analysis of mixed fractional Gaussian processes |
| title_short | Stochastic analysis of mixed fractional Gaussian processes |
| title_sort | stochastic analysis of mixed fractional gaussian processes |
| topic | MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Gaussian processes fast Stochastic processes fast Gaussian processes Stochastic processes |
| topic_facet | MATHEMATICS / Applied MATHEMATICS / Probability & Statistics / General Gaussian processes Stochastic processes |
| url | https://www.sciencedirect.com/science/book/9781785482458 |
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