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. Several approaches have been used to develop the concept of shastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of shastic 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 shastic 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.
1100338814
Stochastic Calculus for Fractional Brownian Motion and Applications
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. Several approaches have been used to develop the concept of shastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of shastic 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 shastic 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.
139.99
In Stock
5
1
Stochastic Calculus for Fractional Brownian Motion and Applications
330
Stochastic Calculus for Fractional Brownian Motion and Applications
330Paperback(Softcover reprint of hardcover 1st ed. 2008)
$139.99
139.99
In Stock
Product Details
| ISBN-13: | 9781849969949 |
|---|---|
| Publisher: | Springer London |
| Publication date: | 12/13/2010 |
| Series: | Probability and Its Applications |
| Edition description: | Softcover reprint of hardcover 1st ed. 2008 |
| Pages: | 330 |
| Product dimensions: | 6.10(w) x 9.25(h) x 0.03(d) |
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