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Stochastic calculus for fractional Brownian motion and related processes / Yuliya S. Mishura
Mitwirkende(r): Resource type: Ressourcentyp: BuchBuchVerlagsnummer: 12175352Sprache: Englisch Reihen: Lecture notes in mathematics ; 1929Verlag: Berlin ; Heidelberg [u.a.] : Springer, 2008Beschreibung: XVII, 393 S. ; 235 mm x 155 mmISBN:- 9783540758723
- 3540758720
- 530.4/750151922 23
- 510
- 519.233
- 510
- QA274.75
Inhalte:
PPN: PPN: 545552087
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.
| Medientyp | Heimatbibliothek | Standort | Signatur | Status | Barcode | |
|---|---|---|---|---|---|---|
| Freihandbestand ausleihbar | Fachbibliothek Mathematik | Bibliothek / frei aufgestellt | Lect. notes / 1929 | Verfügbar | 36345677090 |
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