Cover is for reference only

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Mishura, I︠U︡lii︠a︡ S.
Corporate Authors: Elsevier Science & Technology.
Group Author: Zili, Mounir
Published: ISTE Press,
Publisher Address: London :
Publication Dates: 2018.
Literature type: eBook
Language: English
Subjects:
Gaussian processes.
Stochastic processes.
MATHEMATICS / Applied
MATHEMATICS / Probability & Statistics / General.
Electronic books.
Online Access: https://www.sciencedirect.com/science/book/9781785482458
Summary: 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.
Carrier Form: 1 online resource (194 pages)
ISBN: 9780081023631
0081023634
Index Number: QA274
CLC: O211.6

Related Book Recommendations