Coverart for item
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]

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]
Contributor
Subject
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 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 = 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
Member of
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]
Instantiates
Publication
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 divergence-type 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
9781846287978
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-84628-797-8.
http://library.link/vocab/ext/overdrive/overdriveId
978-1-85233-996-8
Specific material designation
remote
System control number
(OCoLC)233973058
Label
Stochastic calculus for fractional Brownian motion and applications, Francesca Biagini [and others]
Publication
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 divergence-type 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
9781846287978
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-84628-797-8.
http://library.link/vocab/ext/overdrive/overdriveId
978-1-85233-996-8
Specific material designation
remote
System control number
(OCoLC)233973058

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      38.944491 -92.326012
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