Stochastic Calculus for Fractional Brownian Motion and Applications

Released on by Francesca Biagini
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  • Stochastic Calculus for Fractional Brownian Motion and Applications Book Detail

  • Author : Francesca Biagini
  • Release Date : 2008-02-17
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 331
  • ISBN 13 : 1846287979
  • File Size : 61,61 MB
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Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini PDF Summary

Book Description: 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. 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.

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