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Ambit Stochastics

By Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
eBook
$129.00
By Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
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Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development.

Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or inter...

Categories

Science & TechnologyMathematicsProbability TheoryStatistics