The Resource Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
Resource Information
The item Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 2 library branches.
Resource Information
The item Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 2 library branches.
 Summary
 This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained
 Language
 eng
 Extent
 1 online resource
 Contents

 Projection of fBm on the Space of Martingales
 Distance Between fBm and Subclasses of Gaussian Martingales
 Approximation of fBm by Various Classes of Stochastic Processes
 Auxiliary Results from Mathematical, Functional and Stochastic Analysis
 Evaluation of the Chebyshev Center of a Set of Points in the Euclidean Space
 Simulation of fBm
 Solutions
 Isbn
 9781119476771
 Label
 Fractional Brownian motion : approximations and projections
 Title
 Fractional Brownian motion
 Title remainder
 approximations and projections
 Statement of responsibility
 Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
 Language
 eng
 Summary
 This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained
 Cataloging source
 N$T
 http://library.link/vocab/creatorName
 Banna, Oksana
 Dewey number
 519.2/36
 Index
 index present
 LC call number
 QA274.75
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName

 Mishura, I︠U︡lii︠a︡ S.
 Ralchenko, Kostiantyn
 Shklyar, S. V.
 Series statement
 Mathematics and statistics series
 http://library.link/vocab/subjectName

 Brownian motion processes
 Martingales (Mathematics)
 MATHEMATICS
 MATHEMATICS
 Brownian motion processes
 Martingales (Mathematics)
 Label
 Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Projection of fBm on the Space of Martingales  Distance Between fBm and Subclasses of Gaussian Martingales  Approximation of fBm by Various Classes of Stochastic Processes  Auxiliary Results from Mathematical, Functional and Stochastic Analysis  Evaluation of the Chebyshev Center of a Set of Points in the Euclidean Space  Simulation of fBm  Solutions
 Control code
 1096435592
 Dimensions
 unknown
 Extent
 1 online resource
 File format
 unknown
 Form of item
 online
 Isbn
 9781119476771
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)1096435592
 Label
 Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Projection of fBm on the Space of Martingales  Distance Between fBm and Subclasses of Gaussian Martingales  Approximation of fBm by Various Classes of Stochastic Processes  Auxiliary Results from Mathematical, Functional and Stochastic Analysis  Evaluation of the Chebyshev Center of a Set of Points in the Euclidean Space  Simulation of fBm  Solutions
 Control code
 1096435592
 Dimensions
 unknown
 Extent
 1 online resource
 File format
 unknown
 Form of item
 online
 Isbn
 9781119476771
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)1096435592
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/FractionalBrownianmotionapproximationsand/Op_MiF02CLk/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/FractionalBrownianmotionapproximationsand/Op_MiF02CLk/">Fractional Brownian motion : approximations and projections, Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>