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Synopsis
Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts.
- Presents both mixed fractional and sub-fractional Brownian motions
- Provides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD students
- Includes different Hurst indices
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About the Authors
Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.
Mounir Zili works at the University of Monastir, Faculty of sciences of Monastir with expertise in Probability Theory, Applied Mathematics, Analysis
"About this title" may belong to another edition of this title.
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Stochastic Analysis of Mixed Fractional Gaussian Processes
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Stochastic Analysis of Mixed Fractional Gaussian Processes
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts. Englisch. Seller Inventory # 9781785482458
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Stochastic Analysis of Mixed Fractional Gaussian Processes
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Buch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts. Seller Inventory # 9781785482458
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