Stochastic Calculus for Fractional Brownian Motion and Applications
Author:   Francesca Biagini ,  Yaozhong Hu ,  Bernt Oksendal
Publisher:   Springer
ISBN:  

9781848008939


Pages:   344
Publication Date:   12 August 2008
Format:   Undefined
Availability:   Out of stock   Availability explained


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Stochastic Calculus for Fractional Brownian Motion and Applications


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Overview

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.

Full Product Details

Author:   Francesca Biagini ,  Yaozhong Hu ,  Bernt Oksendal
Publisher:   Springer
Imprint:   Springer
Dimensions:   Width: 23.40cm , Height: 1.80cm , Length: 15.60cm
Weight:   0.481kg
ISBN:  

9781848008939


ISBN 10:   1848008937
Pages:   344
Publication Date:   12 August 2008
Audience:   General/trade ,  General
Format:   Undefined
Publisher's Status:   Unknown
Availability:   Out of stock   Availability explained

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Reviews

From the reviews: The development of stochastic integration with respect to fBm continues to be a very active area of research became a necessity to collect the different approaches into a single monograph, in order to allow researchers in this field to have a general and quick view of the state of the art. This book very nicely attains this aim, and I can recommend it to any person interested in fractional Brownian motion. (Ivan Nourdin, Mathematical Reviews, Issue 2010 a)


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