Login

Biagini, Francesca

Stochastic Calculus for Fractional Brownian Motion and Applications

Biagini, Francesca - Stochastic Calculus for Fractional Brownian Motion and Applications, ebook

95,40€

Ebook, PDF with Adobe DRM
ISBN: 9781846287978
DRM Restrictions

PrintingNot allowed
Copy to clipboardNot allowed

Table of contents

I. Fractional Brownian motion

1. Intrinsic properties of the fractional Brownian motion

II. Stochastic calculus

2. Wiener and divergence-type integrals for fractional Brownian motion

3. Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2

4. WickItô Skorohod (WIS) integrals for fractional Brownian motion

5. Pathwise integrals for fractional Brownian motion

6. A useful summary

III. Applications of stochastic calculus

7. Fractional Brownian motion in finance

8. Stochastic partial differential equations driven by fractional Brownian fields

9. Stochastic optimal control and applications

10. Local time for fractional Brownian motion

DRM-restrictions

Printing: not available
Clipboard copying: not available

Keywords: MATHEMATICS / General MAT000000

Author(s)
 
 
 
Publisher
Springer
Publication year
2008
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781846287978

Similar titles