Stochastic Calculus for Fractional Brownian Motion and Applications
- ISBN-10
- 1846287979
- ISBN-13
- 9781846287978
- Category
- Mathematics
- Pages
- 330
- Language
- English
- Published
- 2008-02-17
- Publisher
- Springer Science & Business Media
- Authors
- Bernt Øksendal, Yaozhong Hu, Francesca Biagini
Description
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.
Get the book
Similar books
-
Integral Geometry and Tomography: Proceedings of the AMS-IMS-SIAM Joint Summer Research Conference, Held June 24-30, 1989, with Support from the...
By Eric Grinberg, Eric Todd QuintoIn Section 2 we will deal with the “discrete” case. Let S be a locally finite tree T endowed with the natural integer-valued distance function: the ...
-
Ordinary Differential Equations and Linear Algebra: A Systems Approach
By Todd Kapitula... for in this case [yp](s)=s[yp](s), [yp](s)=s2[yp](s). As we will see in the examples, this assumption also makes it possible to deal with the initial ...
-
Cognition and Intractability: A Guide to Classical and Parameterized Complexity Analysis
By Iris van Rooij, Mark Blokpoel, Johan Kwisthoutx,y∈S δ(x,y) is maximum. u(x) + ADDITIVE SUBSET CHOICE Input: A set X = {x1 ,x2 ... F Tractability cycle Test 8.2 How (Not) to Deal with Intractability 173.
-
Mymathlab -- Standalone Access Card
By Pearson Education, David P Pearson Education, Hall H Pearson EducationSeveral versions of Pearson's MyLab & Mastering products exist for each title, including customized versions for individual schools, and registrations are not transferable.
-
Mymathlab Student Acc Kit + Intro Alg Wrkshts
By Inc. Pearson EducationMymathlab Student Acc Kit + Intro Alg Wrkshts
-
Pearson Mathematics 7: H.P
By Pearson Education Australia StaffPearson Mathematics homework program for Year 7 provides tear-out sheets which correspond with student book sections, providing systematic and cumulative skills revision of basic skills and current class topics in the form of take-home ...
-
Worksheets for Classroom Or Lab Practice for Intermediate Algebra: Graphs & Models
By Addison-WesleyWorksheets for Classroom Or Lab Practice for Intermediate Algebra: Graphs & Models
-
Pearson Mathematics New South Wales 8 Student Book: Australian Curriculum
By Pearson Education Australia Staff, Gael McLeod, David CoffeyThe Student Book provides an easy-to-use 'nuts and bolts' book at each year level.
-
Matrix Iterative Analysis
By Richard S. Varga... partial differential equations have received a great deal of attention. For excellent bibliographical coverage, see Todd (1956), Richtmyer (1957), ...
-
Mathematical Modelling: Education, Engineering and Economics - ICTMA 12
By C Haines, P Galbraith, W BlumTodd, P. A., McKeen, .l. ... ANALYTICAL SUPPORT PROBLEM SOLVING Cognitive Perspectives on Modelling HOW DO STUDENTS AND TEACHERS DEAL Sodhi and Son 219 NOTE ...