Ambit Stochastics

• Main Authors: Barndorff-Nielsen, Ole E. (Author, http://id.loc.gov/vocabulary/relators/aut), Benth, Fred Espen (http://id.loc.gov/vocabulary/relators/aut), Veraart, Almut E. D. (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Probability Theory and Stochastic Modelling, 88
• Subjects: Probabilities.; Mathematical physics.; Economics, Mathematical .; Statistics .; Probability Theory and Stochastic Processes.; Mathematical Applications in the Physical Sciences.; Quantitative Finance.; Mathematical Physics.; Statistics for Business, Management, Economics, Finance, Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Am...

Table of Contents:

• Part I The purely temporal case
• 1 Volatility modulated Volterra processes
• 2 Simulation
• 3 Asymptotic theory for power variation of LSS processes
• 4 Integration with respect to volatility modulated Volterra processes
• Part II The spatio-temporal case
• 5 The ambit framework
• 6 Representation and simulation of ambit fields
• 7 Stochastic integration with ambit fields as integrators
• 8 Trawl processes
• Part III Applications
• 9 Turbulence modelling
• 10 Stochastic modelling of energy spot prices by LSS processes
• 11 Forward curve modelling by ambit fields
• Appendix A: Bessel functions
• Appendix B: Generalised hyperbolic distribution
• References
• Index.