Overview
- The first book to compare the different frameworks and methods of stochastic integration for fBm. It also discusses the applications of the resulting theory.
- Written by leading contributors to the field.
Part of the book series: Probability and Its Applications (PIA)
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About this book
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.
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Keywords
Table of contents (10 chapters)
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Fractional Brownian motion
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Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Calculus for Fractional Brownian Motion and Applications
Authors: Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang
Series Title: Probability and Its Applications
DOI: https://doi.org/10.1007/978-1-84628-797-8
Publisher: Springer London
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag London 2008
Hardcover ISBN: 978-1-85233-996-8Published: 25 February 2008
Softcover ISBN: 978-1-84996-994-9Published: 21 October 2010
eBook ISBN: 978-1-84628-797-8Published: 17 February 2008
Series ISSN: 1431-7028
Edition Number: 1
Number of Pages: XII, 330
Topics: Probability Theory and Stochastic Processes, Statistics for Business, Management, Economics, Finance, Insurance, Applications of Mathematics