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 : 4/5 from 21 reviews
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Read or download book entitled Stochastic Analysis of Mixed Fractional Gaussian Processes written by Yuliya Mishura which was release on 26 May 2018, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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

Stochastic Calculus for Fractional Brownian Motion and Related Processes
  • Author : IUliia S. Mishura,I︠U︡lii︠a︡ S. Mishura,Yuliya Mishura,Julija S. Mišura,Ûliâ Stepanovna Mišura
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-01-02
  • Total pages : 393
  • ISBN : 0081023634
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Summary : This volume grew out of a series of preprints which were written and circulated - tween 1993 and 1994. Around the same time, related work was done independently by Harder 40] and Laumon 62]. In writing this text based on a revised version of these preprints that were widely distributed in summer 1995, I ?nally ...

Modern Problems of Stochastic Analysis and Statistics

Modern Problems of Stochastic Analysis and Statistics
  • 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 ...

Parameter Estimation in Fractional Diffusion Models

Parameter Estimation in Fractional Diffusion Models
  • 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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Annales de la facult   des sciences de Toulouse
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081023634
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Mathematical Reviews
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2008
  • Total pages : 212
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Summary : Download or read online Mathematical Reviews written by , published by which was released on 2008. Get Mathematical Reviews Books now! Available in PDF, ePub and Kindle....

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  • Author : Anonim
  • Publisher : Unknown
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Stochastic Analysis and Applications to Finance
  • Author : Tusheng Zhang
  • Publisher : World Scientific
  • Release Date : 2012
  • Total pages : 465
  • ISBN : 0081023634
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Summary : This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, ...

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Long Range Dependence
  • Author : Gennady Samorodnitsky
  • Publisher : Now Publishers Inc
  • Release Date : 2007
  • Total pages : 99
  • ISBN : 0081023634
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Summary : Long Range Dependence is a wide ranging survey of the ideas, models and techniques associated with the notion of long memory. It will serve as an invaluable reference source for researchers studying long range dependence, for those building long memory models, and for people who are trying to detect the ...

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  • Publisher : Unknown
  • Release Date : 1996
  • Total pages : 212
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Summary : Download or read online Bulletin written by , published by which was released on 1996. Get Bulletin Books now! Available in PDF, ePub and Kindle....

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  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2008
  • Total pages : 212
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Current Index to Statistics Applications Methods and Theory

Current Index to Statistics  Applications  Methods and Theory
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1998
  • Total pages : 212
  • ISBN : 0081023634
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Summary : The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields....

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INET 95 Conference Proceedings
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1995
  • Total pages : 212
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Comprehensive Dissertation Index
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1989
  • Total pages : 212
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Summary : Vols. for 1973- include the following subject areas: Biological sciences, Agriculture, Chemistry, Environmental sciences, Health sciences, Engineering, Mathematics and statistics, Earth sciences, Physics, Education, Psychology, Sociology, Anthropology, History, Law & political science, Business & economics, Geography & regional planning, Language & literature, Fine arts, Library & information science, Mass communications, Music, Philosophy and Religion....

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  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1980
  • Total pages : 212
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Summary : Download or read online Trabajos de estad stica y de investigaci n operativa written by , published by which was released on 1980. Get Trabajos de estad stica y de investigaci n operativa Books now! Available in PDF, ePub and Kindle....