×

Uh-oh, it looks like your Internet Explorer is out of date.

For a better shopping experience, please upgrade now.

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
 

See All Formats & Editions

ISBN-10: 1852339969

ISBN-13: 9781852339968

Pub. Date: 02/28/2008

Publisher: Springer London

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

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. 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.

Product Details

ISBN-13:
9781852339968
Publisher:
Springer London
Publication date:
02/28/2008
Series:
Probability and Its Applications Series
Edition description:
2008
Pages:
330
Product dimensions:
0.81(w) x 9.21(h) x 6.14(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.

Customer Reviews

Average Review:

Post to your social network

     

Most Helpful Customer Reviews

See all customer reviews