Stochastic Analysis of Mixed Fractional Gaussian Processes (eBook)

Yuliya Mishura, Mounir Zili (Autoren)

eBook Download: EPUB

2018 | 1. Auflage
210 Seiten
Elsevier Science (Verlag)
978-0-08-102363-1 (ISBN)

Infos

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

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.

Produkt-Details

• Erscheint lt. Verlag: 26.5.2018
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 0-08-102363-4 / 0081023634
• ISBN-13: 978-0-08-102363-1 / 9780081023631