Stochastic Analysis of Mixed Fractional Gaussian Processes e-bog
1094,57 DKK
(inkl. moms 1368,21 DKK)
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 uni...
E-bog
1094,57 DKK
Forlag
ISTE Press - Elsevier
Udgivet
26 maj 2018
Længde
210 sider
Genrer
PBWL
Sprog
English
Format
epub
Beskyttelse
LCP
ISBN
9780081023631
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. Presents both mixed fractional and sub-fractional Brownian motions Provides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD students Includes different Hurst indices