Stochastic Calculus for Fractional Brownian Motion and Applications

出版者:Springer

作者:Francesca Biagini

页数:332

出版时间:2008-2-25

价格:USD 119.00

装帧:Hardcover

isbn号码:9781852339968

丛书系列:Probability and its Applications- A Series of the Applied Probability Trust

图书标签:StochasticsFinance金融数学Mathematics随机分析数学投资~

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.