The Resource Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others]
Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others]
Resource Information
The item Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others] 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 1 library branch.
Resource Information
The item Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others] 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 1 library branch.
 Summary
 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 oneparameter 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 = 1/2), 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
 Language
 eng
 Extent
 1 online resource (xii, 329 pages).
 Contents

 Fractional Brownian motion
 Intrinsic properties of the fractional Brownian motion
 Stochastic calculus
 Wiener and divergencetype integrals for fractional Brownian motion
 Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H>1/2
 WickItô Skorohod (WIS) integrals for fractional Brownian motion
 Pathwise integrals for fractional Brownian motion
 A useful summary
 Applications of stochastic calculus
 Fractional Brownian motion in finance
 Stochastic partial differential equations driven by fractional Brownian fields
 Stochastic optimal control and applications
 Local time for fractional Brownian motion
 Isbn
 9781852339968
 Label
 Stochastic calculus for fractional Brownian motion and applications
 Title
 Stochastic calculus for fractional Brownian motion and applications
 Statement of responsibility
 Francesca Biagini [and others]
 Language
 eng
 Summary
 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 oneparameter 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 = 1/2), 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
 Cataloging source
 GW5XE
 Dewey number
 519.2
 Index
 index present
 LC call number
 QA274.2
 LC item number
 .S7725 2008eb
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName
 Biagini, Francesca
 Series statement
 Probability and its applications
 http://library.link/vocab/subjectName

 Stochastic analysis
 Brownian motion processes
 Brownian motion processes
 Stochastic analysis
 Brownian motion processes
 Stochastic analysis
 Label
 Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others]
 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
 Fractional Brownian motion  Intrinsic properties of the fractional Brownian motion  Stochastic calculus  Wiener and divergencetype integrals for fractional Brownian motion  Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H>1/2  WickItô Skorohod (WIS) integrals for fractional Brownian motion  Pathwise integrals for fractional Brownian motion  A useful summary  Applications of stochastic calculus  Fractional Brownian motion in finance  Stochastic partial differential equations driven by fractional Brownian fields  Stochastic optimal control and applications  Local time for fractional Brownian motion
 Control code
 233973058
 Dimensions
 unknown
 Extent
 1 online resource (xii, 329 pages).
 Form of item
 online
 Isbn
 9781852339968
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9781846287978.
 http://library.link/vocab/ext/overdrive/overdriveId
 9781852339968
 Specific material designation
 remote
 System control number
 (OCoLC)233973058
 Label
 Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others]
 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
 Fractional Brownian motion  Intrinsic properties of the fractional Brownian motion  Stochastic calculus  Wiener and divergencetype integrals for fractional Brownian motion  Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H>1/2  WickItô Skorohod (WIS) integrals for fractional Brownian motion  Pathwise integrals for fractional Brownian motion  A useful summary  Applications of stochastic calculus  Fractional Brownian motion in finance  Stochastic partial differential equations driven by fractional Brownian fields  Stochastic optimal control and applications  Local time for fractional Brownian motion
 Control code
 233973058
 Dimensions
 unknown
 Extent
 1 online resource (xii, 329 pages).
 Form of item
 online
 Isbn
 9781852339968
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9781846287978.
 http://library.link/vocab/ext/overdrive/overdriveId
 9781852339968
 Specific material designation
 remote
 System control number
 (OCoLC)233973058
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