The Resource Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)

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

Label
Stochastic Calculus for Fractional Brownian Motion and Applications
Title
Stochastic Calculus for Fractional Brownian Motion and Applications
Statement of responsibility
by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang
Creator
Contributor
Author
Author
Subject
Language
  • eng
  • eng
Summary
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 it is natural to ask if a stochastic calculus for fBm can be developed. This is not obvious, since fBm is neither a semimartingale (except when H = 1⁄2), nor a Markov process so the classical mathematical machineries for stochastic calculus are not available in the fBm case. Several approaches have been used to develop the concept of stochastic calculus for fBm. 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 stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance. Aspects of the book will also be useful in other fields where fBm can be used as a model for applications
Member of
http://library.link/vocab/creatorName
Biagini, Francesca
Dewey number
519.2
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • 0XqzquJcMF0
  • DCTOFpkD0JI
  • SixmgTiSGq8
  • 4ll-F1o6Jfg
Language note
English
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Hu, Yaozhong.
  • Øksendal, Bernt.
  • Zhang, Tusheng.
Series statement
Probability and Its Applications,
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Statistics
  • Mathematics
  • Probability Theory and Stochastic Processes
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Applications of Mathematics
Label
Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
Fractional Brownian motion -- Intrinsic properties of the fractional Brownian motion -- Stochastic calculus -- Wiener and divergence-type integrals for fractional Brownian motion -- Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2 -- WickItô Skorohod (WIS) integrals for fractional Brownian motion -- Pathwise integrals for fractional Brownian motion -- A useful summary -- Applications of stochastic calculus -- Fractional Brownian motion in finance -- Stochastic partial differential equations driven by fractional Brownian fields -- Stochastic optimal control and applications -- Local time for fractional Brownian motion
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (336 p.)
Form of item
online
Isbn
9786611220280
Media category
computer
Media type code
c
Other control number
10.1007/978-1-84628-797-8
Specific material designation
remote
System control number
  • (CKB)1000000000492114
  • (EBL)337442
  • (OCoLC)233973058
  • (SSID)ssj0000310390
  • (PQKBManifestationID)11223880
  • (PQKBTitleCode)TC0000310390
  • (PQKBWorkID)10287326
  • (PQKB)11226603
  • (SSID)ssj0000774145
  • (PQKBManifestationID)12258639
  • (PQKBTitleCode)TC0000774145
  • (PQKBWorkID)10720424
  • (PQKB)11496583
  • (DE-He213)978-1-84628-797-8
  • (MiAaPQ)EBC337442
  • (EXLCZ)991000000000492114
Label
Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
Fractional Brownian motion -- Intrinsic properties of the fractional Brownian motion -- Stochastic calculus -- Wiener and divergence-type integrals for fractional Brownian motion -- Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2 -- WickItô Skorohod (WIS) integrals for fractional Brownian motion -- Pathwise integrals for fractional Brownian motion -- A useful summary -- Applications of stochastic calculus -- Fractional Brownian motion in finance -- Stochastic partial differential equations driven by fractional Brownian fields -- Stochastic optimal control and applications -- Local time for fractional Brownian motion
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (336 p.)
Form of item
online
Isbn
9786611220280
Media category
computer
Media type code
c
Other control number
10.1007/978-1-84628-797-8
Specific material designation
remote
System control number
  • (CKB)1000000000492114
  • (EBL)337442
  • (OCoLC)233973058
  • (SSID)ssj0000310390
  • (PQKBManifestationID)11223880
  • (PQKBTitleCode)TC0000310390
  • (PQKBWorkID)10287326
  • (PQKB)11226603
  • (SSID)ssj0000774145
  • (PQKBManifestationID)12258639
  • (PQKBTitleCode)TC0000774145
  • (PQKBWorkID)10720424
  • (PQKB)11496583
  • (DE-He213)978-1-84628-797-8
  • (MiAaPQ)EBC337442
  • (EXLCZ)991000000000492114

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