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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications

Hu, Yaozhong
Biagini, Francesca
Øksendal, Bernt

Hardcover

Series: Probability and Its Applications

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 1852339969
ISBN13: 9781852339968
Publisher: Springer Nature
Published: Feb 25 2008
Pages: 330
Weight: 1.45
Height: 0.81 Width: 6.14 Depth: 9.21
Language: English

Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study, and it's also what makes this book such an important contribution to the field. The purpose of the text here 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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