Coverart for item
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

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
Creator
Contributor
Author
Subject
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
Member of
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
Instantiates
Publication
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
Publication
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

Library Locations

    • Ellis LibraryBorrow it
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      38.944491 -92.326012
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      38.946102 -92.330125
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