Stochastic Analysis of Mixed Fractional Gaussian Processes
Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's.
| Quantity | Price | Discount |
|---|---|---|
| List Price | $130.00 |
Non-returnable discount pricing
$130.00
Book Information
| Publisher: | Iste Press - Elsevier |
|---|---|
| Publish Date: | 05/22/2018 |
| Pages: | 210 |
| ISBN-13: | 9781785482458 |
| ISBN-10: | 1785482459 |
| Language: | English |
Full Description
Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts.