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Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications) - Hardcover
Synopsis
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 stochastic calculus for fBm. 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.
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From the Back Cover
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.
fBm represents a natural one-parameter extension of classical Brownian motion therefore it is natural to ask if a stochastic calculus for fBm can be developed. This is not obvious, since fBm is neither a semimartingale (except when H = œ), nor a Markov process so the classical mathematical machineries for stochastic calculus are not available in the fBm case.
Several approaches have been used to develop the concept of stochastic calculus for fBm. 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. Aspects of the book will also be useful in other fields where fBm can be used as a model for applications.
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Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)
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hardcover. Condition: As New. Springer Verlag; London, 2008. Hardcover. A Near Fine, binding firm, book appears unread, trace handling/scuff marks to boards, slightly bumped bottom board corners, without Dust wrapper. A nice, clean and unmarked copy. 8vo[octavo or approx. 6 x 9 inches], 329pp., references, indexed. We pack securely and ship daily with delivery confirmation on every book. The picture on the listing page is of the actual book for sale. Additional Scan(s) are available for any item, please inquire.Please note: Oversized books/sets MAY require additional postage then what is quoted for 2.2lb book. Seller Inventory # SKU1037382
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Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)
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Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)
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Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Springer Nature Singapore Feb 2008, 2008
ISBN 10: 1852339969
ISBN 13: 9781852339968
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 stochastic calculus for fBm. 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. 330 pp. Englisch. Seller Inventory # 9781852339968
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. The first book to compare the different frameworks and methods of stochastic integration for fBm. It also discusses the applications of the resulting theory.Written by leading contributors to the field.Fractional Brownian motion (fB. Seller Inventory # 4289902
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 stochastic calculus for fBm. 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. Seller Inventory # 9781852339968
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Stochastic Calculus for Fractional Brownian Motion and Applications
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