Lecture Notes in Mathematics

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Authors: Mishura, Yuliya

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About this book

The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0<H<1/2 of Hurst index, the conditions of existence and uniqueness of solutions to SDE involving additive Wiener integrals, and of solutions of the mixed Brownian—fractional Brownian SDE. The author develops optimal filtering of mixed models including linear case, and studies financial applications and statistical inference with hypotheses testing and parameter estimation. She proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-540-75873-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $74.99
price for USA in USD
  • ISBN 978-3-540-75872-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Calculus for Fractional Brownian Motion and Related Processes
Authors
Series Title
Lecture Notes in Mathematics
Series Volume
1929
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-75873-0
DOI
10.1007/978-3-540-75873-0
Softcover ISBN
978-3-540-75872-3
Series ISSN
0075-8434
Edition Number
1
Number of Pages
XVIII, 398
Topics