Stochastic Analysis of Mixed Fractional Gaussian Processes
  • Author : Yuliya Mishura
  • Release Date : 26 May 2018
  • Publisher : Elsevier
  • Genre : Mathematics
  • Pages : 210
  • ISBN 13 : 9780081023631

Stochastic Analysis of Mixed Fractional Gaussian Processes Book Summary

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

Stochastic Analysis of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes

Author : Yuliya Mishura,Mounir Zili
Publisher : Elsevier
Genre : Mathematics
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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 ...

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Publisher : Springer Nature
Genre : Mathematics
Total View : 712 Views
File Size : 55,5 Mb
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The goal of the 2019 conference on Stochastic Processes and Algebraic Structures held in SPAS2019, Västerås, Sweden, from September 30th to October 2nd 2019, was to showcase the frontiers of research in several important areas of mathematics, mathematical statistics, and its applications. The conference was organized around the following topics 1. ...

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Publisher : John Wiley & Sons
Genre : Mathematics
Total View : 4220 Views
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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 ...

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Publisher : Walter de Gruyter GmbH & Co KG
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Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most ...

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Publisher : Springer
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This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation ...