Ole E Barndorff-Nielsen

(Author)

Ambit Stochastics (Softcover Reprint of the Original 1st 2018)Paperback - Softcover Reprint of the Original 1st 2018, 20 December 2018

Ambit Stochastics (Softcover Reprint of the Original 1st 2018)
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Part of Series
Probability Theory and Stochastic Modelling
Print Length
402 pages
Language
English
Publisher
Springer
Date Published
20 Dec 2018
ISBN-10
3030068021
ISBN-13
9783030068028

Description

Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development.

Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context.

Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

Product Details

Authors:
Ole E Barndorff-NielsenFred Espen BenthAlmut E D Veraart
Book Edition:
Softcover Reprint of the Original 1st 2018
Book Format:
Paperback
Country of Origin:
NL
Date Published:
20 December 2018
Dimensions:
23.39 x 15.6 x 2.21 cm
ISBN-10:
3030068021
ISBN-13:
9783030068028
Language:
English
Location:
Cham
Pages:
402
Publisher:
Weight:
598.74 gm

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