Stochastic Analysis of Mixed Fractional Gaussian Processes

This book PDF is perfect for those who love Mathematics genre, written by Yuliya Mishura and published by Elsevier which was released on 26 May 2018 with total hardcover pages 210. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Stochastic Analysis of Mixed Fractional Gaussian Processes books below.

Stochastic Analysis of Mixed Fractional Gaussian Processes
Stochastic Analysis of Mixed Fractional Gaussian Processes
Author : Yuliya Mishura
File Size : 42,8 Mb
Publisher : Elsevier
Language : English
Release Date : 26 May 2018
ISBN : 9780081023631
Pages : 210 pages
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Stochastic Analysis of Mixed Fractional Gaussian Processes by Yuliya Mishura Book PDF Summary

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

Stochastic Analysis of Mixed Fractional Gaussian Processes

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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

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