Stochastic calculus for fractional Brownian motion and applications

著者

書誌事項

Stochastic calculus for fractional Brownian motion and applications

Francesca Biagini ... [et al.]

(Probability and its applications)

Springer, c2008

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注記

Other authors: Yaozhong Hu, Bernt Øksendal, Tusheng Zhang

Includes bibliographical references (p. [309]-320) and index

内容説明・目次

内容説明

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.

目次

Fractional Brownian motion.- Intrinsic properties of the fractional Brownian motion.- Stochastic calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick Ito Skorohod (fWIS) integrals for fBm of Hurst index H >1/2.- WickIto 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.

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詳細情報

  • NII書誌ID(NCID)
    BA8511492X
  • ISBN
    • 9781852339968
  • LCCN
    2008920683
  • 出版国コード
    uk
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    London
  • ページ数/冊数
    xii, 329 p.
  • 大きさ
    25 cm
  • 親書誌ID
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