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Stochastic calculus for fractional Brownian motion and related processes / Yuliya S. Mishura

By: Contributor(s): Resource type: Ressourcentyp: BuchBookPublisher number: 12175352Language: English Series: Lecture notes in mathematics ; 1929Publisher: Berlin ; Heidelberg [u.a.] : Springer, 2008Description: XVII, 393 S. ; 235 mm x 155 mmISBN:
  • 9783540758723
  • 3540758720
Subject(s): Additional physical formats: 9783540758739 | Erscheint auch als: Stochastic Calculus for Fractional Brownian Motion and Related Processes. Online-Ausgabe. Berlin : Springer, 2008. Online-Ressource (digital)DDC classification:
  • 530.4/750151922 23
  • 510
  • 519.233
  • 510
MSC: MSC: *60-02 | 60G15 | 60G44 | 60G60 | 60H05 | 60H10 | 60H40 | 60G35 | 91B70 | 62F03 | 60F05RVK: RVK: SI 850 | SK 820 | SK 920LOC classification:
  • QA274.75
Contents:
Wiener integration with respect to fractional Brownian motion -- Stochastic integration with respect to fBm and related topics -- Stochastic differential equations involving fractional Brownian motion -- Filtering in systems with fractional Brownian noise -- Financial applications of fractional Brownian motion -- Tactical inference with fractional Brownian motion -- A: Mandelbrot-van Ness representation : some related calculations -- Approximation of beta integrals and estimation of kernels.
PPN: PPN: 545552087
Holdings
Item type Home library Shelving location Call number Status Barcode
Freihandbestand ausleihbar Fachbibliothek Mathematik Bibliothek / frei aufgestellt Lect. notes / 1929 Available 36345677090
Total holds: 0