Stochastic Calculus for Fractional Brownian Motion and Applications
Author:   Francesca Biagini ,  Yaozhong Hu ,  Bernt Øksendal ,  Tusheng Zhang
Publisher:   Springer London Ltd
Edition:   Softcover reprint of hardcover 1st ed. 2008
ISBN:  

9781849969949


Pages:   330
Publication Date:   21 October 2010
Format:   Paperback
Availability:   In Print   Availability explained
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Stochastic Calculus for Fractional Brownian Motion and Applications


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Author:   Francesca Biagini ,  Yaozhong Hu ,  Bernt Øksendal ,  Tusheng Zhang
Publisher:   Springer London Ltd
Imprint:   Springer London Ltd
Edition:   Softcover reprint of hardcover 1st ed. 2008
Dimensions:   Width: 15.50cm , Height: 1.80cm , Length: 23.50cm
Weight:   0.528kg
ISBN:  

9781849969949


ISBN 10:   1849969949
Pages:   330
Publication Date:   21 October 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of 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.

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)


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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