Stochastic Analysis of Mixed Fractional Gaussian Processes

Written By Yuliya Mishura
Stochastic Analysis of Mixed Fractional Gaussian Processes
  • Publsiher : Elsevier
  • Release : 26 May 2018
  • ISBN : 0081023634
  • Pages : 210 pages
  • Rating : /5 from reviews
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Download or read book entitled Stochastic Analysis of Mixed Fractional Gaussian Processes by author: Yuliya Mishura which was release on 26 May 2018 and published by Elsevier with total page 210 pages . This book available in PDF, EPUB and Kindle Format. 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

Stochastic Analysis of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes
  • Author : Yuliya Mishura,Mounir Zili
  • Publisher : Elsevier
  • Release Date : 2018-05-26
  • Total pages : 210
  • ISBN : 0081023634
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Summary : 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 ...

Stochastic Calculus for Fractional Brownian Motion and Related Processes

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  • Author : Yuliya Mishura
  • Publisher : Springer
  • Release Date : 2008-04-12
  • Total pages : 398
  • ISBN : 0081023634
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Summary : This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without ...

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  • Publisher : John Wiley & Sons
  • Release Date : 2019-04-09
  • Total pages : 293
  • ISBN : 0081023634
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Summary : This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is ...

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  • Author : Vladimir Panov
  • Publisher : Springer
  • Release Date : 2017-11-21
  • Total pages : 511
  • ISBN : 0081023634
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Summary : This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory ...

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  • Publisher : Birkhäuser
  • Release Date : 2016-08-10
  • Total pages : 300
  • ISBN : 0081023634
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Summary : This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely ...

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  • Publisher : Nova Publishers
  • Release Date : 2000
  • Total pages : 130
  • ISBN : 0081023634
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Summary : Read online Stochastic Analysis and Applications written by Yeol Je Cho, published by Nova Publishers which was released on 2000. Download full Stochastic Analysis and Applications Books now! Available in PDF, ePub and Kindle....

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  • Publisher : Springer Science & Business Media
  • Release Date : 2013-08-13
  • Total pages : 268
  • ISBN : 0081023634
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Summary : Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially ...

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  • Publisher : American Mathematical Soc.
  • Release Date : 2003
  • Total pages : 272
  • ISBN : 0081023634
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Summary : The volume includes lecture notes and research papers by participants of the Seventh Symposium on Probability and Stochastic Processes held in Mexico City. The lecture notes introduce recent advances in stochastic calculus with respect to fractional Brownian motion, principles of large deviations and of minimum entropy concerning equilibrium prices in ...

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  • Publisher : Springer
  • Release Date : 2010-10-20
  • Total pages : 503
  • ISBN : 0081023634
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Summary : This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for ...

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  • Author : Kęstutis Kubilius,Yuliya Mishura,Kostiantyn Ralchenko
  • Publisher : Springer
  • Release Date : 2018-01-04
  • Total pages : 390
  • ISBN : 0081023634
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Summary : This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation ...

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  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081023634
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Summary : Read online Annales de la facult des sciences de Toulouse written by , published by which was released on 2006. Download full Annales de la facult des sciences de Toulouse Books now! Available in PDF, ePub and Kindle....

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  • Publisher : John Wiley & Sons
  • Release Date : 2011-07-05
  • Total pages : 280
  • ISBN : 0081023634
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Summary : Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion ...

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  • Author : Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić
  • Publisher : Springer
  • Release Date : 2018-12-05
  • Total pages : 475
  • ISBN : 0081023634
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Summary : This book highlights the latest advances in stochastic processes, probability theory, mathematical statistics, engineering mathematics and algebraic structures, focusing on mathematical models, structures, concepts, problems and computational methods and algorithms important in modern technology, engineering and natural sciences applications. It comprises selected, high-quality, refereed contributions from various large research communities ...

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  • Author : Sabir Umarov,Marjorie Hahn,Kei Kobayashi
  • Publisher : World Scientific
  • Release Date : 2018-02-13
  • Total pages : 192
  • ISBN : 0081023634
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Summary : The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker-Planck-Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker-Planck-Kolmogorov equation involves ...

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  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1992
  • Total pages : 212
  • ISBN : 0081023634
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Summary : Read online Government Reports Announcements Index written by , published by which was released on 1992. Download full Government Reports Announcements Index Books now! Available in PDF, ePub and Kindle....