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Stochastic Calculus for Fractional Brownian Motion and Related Processes [[electronic resource] /] / by Yuliya Mishura
| Stochastic Calculus for Fractional Brownian Motion and Related Processes [[electronic resource] /] / by Yuliya Mishura |
| Autore | Mishura Yuliya |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2008 |
| Descrizione fisica | 1 online resource (XVIII, 398 p.) |
| Disciplina | 530.4/750151922 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Probabilities
Game theory Probability Theory and Stochastic Processes Game Theory, Economics, Social and Behav. Sciences |
| ISBN | 3-540-75873-9 |
| Classificazione | 60G1560G4460G6060H0560H0760H1060H4091B2491B28 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Wiener Integration with Respect to Fractional Brownian Motion -- Stochastic Integration with Respect to fBm and Related Topics -- Stochastic Differential Equations Involving Fractional Brownian Motion -- Filtering in Systems with Fractional Brownian Noise -- Financial Applications of Fractional Brownian Motion -- Statistical Inference with Fractional Brownian Motion. |
| Record Nr. | UNISA-996466509203316 |
Mishura Yuliya
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Stochastic calculus for fractional Brownian motion and related processes / / Yuliya S. Mishura
| Stochastic calculus for fractional Brownian motion and related processes / / Yuliya S. Mishura |
| Autore | Mishura IUliia S |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | Berlin, : Springer-Verlag, c2008 |
| Descrizione fisica | 1 online resource (XVIII, 398 p.) |
| Disciplina | 530.4/750151922 |
| Collana | Lecture notes in mathematics |
| Soggetto topico |
Brownian motion processes - Mathematical models
Stochastic analysis |
| ISBN |
9783540758730
3540758739 |
| Classificazione | 60G1560G4460G6060H0560H0760H1060H4091B2491B28 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Wiener integration with respect to fractional Brownian motion -- Stochastic integration with respect to fBm and related topics -- Stochastic differential equations involving fractional Brownian motion -- Filtering in systems with fractional Brownian noise -- Financial applications of fractional Brownian motion -- Tactical inference with fractional Brownian motion -- A: Mandelbrot-van Ness representation : some related calculations -- Approximation of beta integrals and estimation of kernels. |
| Altri titoli varianti | Fractional Brownian motion and related processes |
| Record Nr. | UNINA-9910483458303321 |
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Mishura IUliia S
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| Berlin, : Springer-Verlag, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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