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£86.99

Elsevier Stochastic Analysis of Mixed Fractional Gaussian Processes

Name: Stochastic Analysis of Mixed Fractional Gaussian Processes
Brand: Elsevier
Price: 86.99 GBP
Availability: InStock

Applied Mathematics

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Description

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. Presents both mixed fractional and sub-fractional Brownian motions Provides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD students Includes different Hurst indices

Product Specifications

Brand: Elsevier
Format: hardcover
ASIN: 1785482459
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 26 May 2018
Listed Since: 11 October 2017

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Elsevier Stochastic Analysis of Mixed Fractional Gaussian Processes

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