Borrow it
 Albert D. Cohen Management Library
 Architecture/Fine Arts Library
 Archives and Special Collections
 Bibliothèque AlfredMonnin (Université de SaintBoniface)
 Bill Larson Library (Grace Hospital)
 Carolyn Sifton  Helene Fuld Library (St. Boniface General Hospital)
 Concordia Hospital Library
 Donald W. Craik Engineering Library
 E.K. Williams Law Library
 EckhardtGramatté Music Library
 Elizabeth Dafoe Library
 Fr. H. Drake Library (St. Paul's College)
 J.W. Crane Memorial Library (Deer Lodge Centre)
 Libraries Annex (not open to the public; please see web page for details)
 Neil John Maclean Health Sciences Library
 Sciences and Technology Library
 Seven Oaks General Hospital Library
 Sister St. Odilon Library (Misericordia Health Centre)
 St. John's College Library
 Victoria General Hospital Library
 William R Newman Library (Agriculture)
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)
Resource Information
The item Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Manitoba Libraries.This item is available to borrow from all library branches.
Resource Information
The item Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Manitoba Libraries.
This item is available to borrow from all library branches.
 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 oneparameter 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
 Language

 eng
 eng
 Edition
 1st ed. 2008.
 Extent
 1 online resource (336 p.)
 Note
 Description based upon print version of record
 Contents

 Fractional Brownian motion
 Intrinsic properties of the fractional Brownian motion
 Stochastic calculus
 Wiener and divergencetype 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
 Isbn
 9786611220280
 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
 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 oneparameter 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
 http://library.link/vocab/creatorName
 Biagini, Francesca
 Dewey number
 519.2
 http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut

 0XqzquJcMF0
 DCTOFpkD0JI
 SixmgTiSGq8
 4llF1o6Jfg
 Language note
 English
 LC call number

 QA273.A1274.9
 QA274274.9
 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)
 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 divergencetype 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
 10.1007/9781846287978
 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
 (DEHe213)9781846287978
 (MiAaPQ)EBC337442
 (EXLCZ)991000000000492114
 Label
 Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)
 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 divergencetype 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
 10.1007/9781846287978
 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
 (DEHe213)9781846287978
 (MiAaPQ)EBC337442
 (EXLCZ)991000000000492114
Library Locations

Albert D. Cohen Management LibraryBorrow it181 Freedman Crescent, Winnipeg, MB, R3T 5V4, CA49.807878 97.129961


Archives and Special CollectionsBorrow it25 Chancellors Circle (Elizabeth Dafoe Library), Room 330, Winnipeg, MB, R3T 2N2, CA49.809961 97.131878

Bibliothèque AlfredMonnin (Université de SaintBoniface)Borrow it200, avenue de la Cathédrale, Local 2110, Winnipeg, MB, R2H 0H7, CA49.888861 97.119735

Bill Larson Library (Grace Hospital)Borrow it300 Booth Drive, G227, Winnipeg, MB, R3J 3M7, CA49.882400 97.276436

Carolyn Sifton  Helene Fuld Library (St. Boniface General Hospital)Borrow it409 Tache Avenue, Winnipeg, MB, R2H 2A6, CA49.883388 97.126050

Concordia Hospital LibraryBorrow it1095 Concordia Avenue, Winnipeg, MB, R2K 3S8, CA49.913252 97.064683

Donald W. Craik Engineering LibraryBorrow it75B Chancellors Circle (Engineering Building E3), Room 361, Winnipeg, MB, R3T 2N2, CA49.809053 97.133292


EckhardtGramatté Music LibraryBorrow it136 Dafoe Road (Taché Arts Complex), Room 257, Winnipeg, MB, R3T 2N2, CA49.807964 97.132222

Elizabeth Dafoe LibraryBorrow it25 Chancellors Circle, Winnipeg, MB, R3T 2N2, CA49.809961 97.131878

Fr. H. Drake Library (St. Paul's College)Borrow it70 Dysart Road, Winnipeg, MB, R3T 2M6, CA49.810605 97.138184

J.W. Crane Memorial Library (Deer Lodge Centre)Borrow it2109 Portage Avenue, Winnipeg, MB, R3J 0L3, CA49.878000 97.235520

Libraries Annex (not open to the public; please see web page for details)Borrow it25 Chancellors Circle (in the Elizabeth Dafoe Library), Winnipeg, MB, R3T 2N2, CA49.809961 97.131878

Neil John Maclean Health Sciences LibraryBorrow it727 McDermot Avenue (Brodie Centre), 200 Level, Winnipeg, MB, R3E 3P5, CA49.903563 97.160554

Sciences and Technology LibraryBorrow it186 Dysart Road, Winnipeg, MB, R3T 2M8, CA49.811526 97.133257

Seven Oaks General Hospital LibraryBorrow it2300 McPhillips Street, Winnipeg, MB, R2V 3M3, CA49.955177 97.148865

Sister St. Odilon Library (Misericordia Health Centre)Borrow it99 Cornish Avenue, Winnipeg, MB, R3C 1A2, CA49.879592 97.160425


Victoria General Hospital LibraryBorrow it2340 Pembina Highway, Winnipeg, MB, R3T 2E8, CA49.806755 97.152739

William R Newman Library (Agriculture)Borrow it66 Dafoe Road, Winnipeg, MB, R3T 2R3, CA49.806936 97.135525
Library Links
Embed (Experimental)
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.lib.umanitoba.ca/portal/StochasticCalculusforFractionalBrownian/mddaIRkVdNU/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.lib.umanitoba.ca/portal/StochasticCalculusforFractionalBrownian/mddaIRkVdNU/">Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.lib.umanitoba.ca/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.lib.umanitoba.ca/">University of Manitoba Libraries</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data  Experimental
Data Citation of the Item Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.lib.umanitoba.ca/portal/StochasticCalculusforFractionalBrownian/mddaIRkVdNU/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.lib.umanitoba.ca/portal/StochasticCalculusforFractionalBrownian/mddaIRkVdNU/">Stochastic Calculus for Fractional Brownian Motion and Applications, by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.lib.umanitoba.ca/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.lib.umanitoba.ca/">University of Manitoba Libraries</a></span></span></span></span></div>