Stochastic Calculus for Fractional Brownian Motion and Related Processes

• Main Author: Mishura, Yuliya S. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Series: Lecture Notes in Mathematics, 1929
• Subjects: Mathematics.; Game theory.; Probabilities.; Probability Theory and Stochastic Processes.; Game Theory, Economics, Social and Behav. Sciences.

The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Le...

Table of Contents:

• Wiener Integration with Respect to Fractional Brownian Motion
• Stochastic Integration with Respect to fBm and Related Topics
• Stochastic Differential Equations Involving Fractional Brownian Motion
• Filtering in Systems with Fractional Brownian Noise
• Financial Applications of Fractional Brownian Motion
• Statistical Inference with Fractional Brownian Motion.