Stochastic Calculus for Fractional Brownian Motion and Applications
Summary
The feel-good place to buy books
Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini
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. Several approaches have been used to develop the concept of stochastic calculus for fBm. The purpose of this book 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.
From the reviews: The development of stochastic integration with respect to fBm continues to be a very active area of research.. became a necessity to collect the different approaches into a single monograph, in order to allow researchers in this field to have a general and quick view of the state of the art. This book very nicely attains this aim, and I can recommend it to any person interested in fractional Brownian motion. (Ivan Nourdin, Mathematical Reviews, Issue 2010 a)
| SKU | Unavailable |
| ISBN 13 | 9781849969949 |
| ISBN 10 | 1849969949 |
| Title | Stochastic Calculus for Fractional Brownian Motion and Applications |
| Author | Francesca Biagini |
| Series | Probability And Its Applications |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Springer London Ltd |
| Year published | 2010-10-21 |
| Number of pages | 330 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |