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Stochastic analysis of mixed fractio...

Mishura, I︠U︡lii︠a︡ S..

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Stochastic analysis of mixed fractional Gaussian processes

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic analysis of mixed fractional Gaussian processes/ Yuliya Mishura, Mounir Zili.
Author:	Mishura, I︠U︡lii︠a︡ S..
other author:	Zili, Mounir.
Published:	London :ISTE Press, : 2018.,
Description:	1 online resource.
Subject:	Gaussian processes. -
Online resource:	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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020 $a 9780081023631 (electronic bk.)
020 $a 0081023634 (electronic bk.)
020 $a 9781785482458
020 $a 1785482459
035 $a (OCoLC)1037946024
035 $a on1037946024
040 $a N$T $b eng $c N$T $d N$T $d YDX $d OCLCF $d OPELS $d LQU $d S2H $d OCLCO
041 0 $a eng
050 4 $a QA274.4
082 0 4 $a 519.2/4 $2 23
100 1 $a Mishura, I︠U︡lii︠a︡ S.. $3 3508452
245 1 0 $a Stochastic analysis of mixed fractional Gaussian processes $h [electronic resource] / $c Yuliya Mishura, Mounir Zili.
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
655 0 $a Electronic books. $2 lcsh $3 542853
700 1 $a Zili, Mounir. $3 1565652
856 4 0 $u https://www.sciencedirect.com/science/book/9781785482458