Francesca Biagini

(Author)

Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Hardcover - 2008, 25 February 2008

Stochastic Calculus for Fractional Brownian Motion and Applications (2008)
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Part of Series
Probability and Its Applications
Part of Series
Probability and Its Applications (Springer)
Print Length
330 pages
Language
English
Publisher
Springer
Date Published
25 Feb 2008
ISBN-10
1852339969
ISBN-13
9781852339968

Description

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, and it's also what makes this book such an important contribution to the field. The purpose of the text here 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.

Product Details

Authors:
Francesca BiaginiYaozhong HuBernt ØksendalTusheng Zhang
Book Edition:
2008
Book Format:
Hardcover
Country of Origin:
NL
Date Published:
25 February 2008
Dimensions:
23.39 x 15.6 x 2.06 cm
ISBN-10:
1852339969
ISBN-13:
9781852339968
Language:
English
Location:
London
Pages:
330
Publisher:
Weight:
657.71 gm

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