Stochastic Calculus for Fractional Brownian Motion and Related Processes

This book PDF is perfect for those who love Mathematics genre, written by Yuliya Mishura and published by Springer which was released on 12 April 2008 with total hardcover pages 398. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Stochastic Calculus for Fractional Brownian Motion and Related Processes books below.

Stochastic Calculus for Fractional Brownian Motion and Related Processes
Stochastic Calculus for Fractional Brownian Motion and Related Processes
Author : Yuliya Mishura
File Size : 44,5 Mb
Publisher : Springer
Language : English
Release Date : 12 April 2008
ISBN : 9783540758730
Pages : 398 pages
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Stochastic Calculus for Fractional Brownian Motion and Related Processes by Yuliya Mishura Book PDF Summary

This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes by Yuliya Mishura

This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without

Get Book
Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and

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Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes by Yuliya S. Mishura

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 Levy characterization of fractional Brownian motion, maximal moment

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Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes by Yuliya Mishura,I︠U︡lii︠a︡ S. Mishura

This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without

Get Book
Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and

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Analysis of Variations for Self similar Processes

Analysis of Variations for Self similar Processes by Ciprian Tudor

Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially

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Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and

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Brownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus by Ioannis Karatzas,Steven Shreve

For readers familiar with measure-theoretic probability and discrete time processes, who wish to explore stochastic processes in continuous time. Annotation copyrighted by Book News, Inc., Portland, OR

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