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Stochastic analysis of mixed fractio...

Mishura, I︠U︡lii︠a︡ S..

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Stochastic analysis of mixed fractional Gaussian processes

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stochastic analysis of mixed fractional Gaussian processes/ Yuliya Mishura, Mounir Zili.
作者:	Mishura, I︠U︡lii︠a︡ S..
其他作者:	Zili, Mounir.
出版者:	London :ISTE Press, : 2018.,
面頁冊數:	1 online resource.
標題:	Gaussian processes. -
電子資源:	https://www.sciencedirect.com/science/book/9781785482458
ISBN:	9780081023631 (electronic bk.)

Stochastic analysis of mixed fractional Gaussian processes
Mishura, I︠U︡lii︠a︡ S..

Stochastic analysis of mixed fractional Gaussian processes[electronic resource] /Yuliya Mishura, Mounir Zili. - London :ISTE Press,2018. - 1 online resource.

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.

ISBN: 9780081023631 (electronic bk.)Subjects--Topical Terms:

672951
Gaussian processes.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: QA274.4

Dewey Class. No.: 519.2/4

Stochastic analysis of mixed fractional Gaussian processes
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260 $a London : $b ISTE Press, $c 2018.
300 $a 1 online resource.
520 $a 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.
650 0 $a Gaussian processes. $3 672951
650 0 $a Stochastic processes. $3 520663
650 7 $a MATHEMATICS / Applied. $2 bisacsh $3 1968627
650 7 $a MATHEMATICS / Probability & Statistics / General. $2 bisacsh $3 3508453
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700 1 $a Zili, Mounir. $3 1565652
856 4 0 $u https://www.sciencedirect.com/science/book/9781785482458