Stochastic Calculus for Fractional Brownian Motion and Applications

• Κύριοι συγγραφείς: Biagini, Francesca (Συγγραφέας), Hu, Yaozhong (Συγγραφέας), Øksendal, Bernt (Συγγραφέας), Zhang, Tusheng (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: London : Springer London, 2008.
• Σειρά: Probability and Its Applications,
• Θέματα: Mathematics.; Applied mathematics.; Engineering mathematics.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Applications of Mathematics.

Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. fBm represents a natural one-parameter extension of classical Brownian motion therefore...