Stochastic Calculus for Fractional Brownian Motion and Applications / Edition 1

Stochastic Calculus for Fractional Brownian Motion and Applications / Edition 1

by Francesca Biagini, Yaozhong Hu, Bernt Oksendal, 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.

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Overview

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.

Product Details

ISBN-13:
9781849969949
Publisher:
Springer London
Publication date:
12/13/2010
Series:
Probability and Its Applications Series
Edition description:
Softcover reprint of hardcover 1st ed. 2008
Pages:
330
Product dimensions:
9.21(w) x 6.14(h) x 0.72(d)

Table of 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.

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