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
GET THIS BOOKStochastic Analysis of Mixed Fractional Gaussian Processes


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
GET BOOK

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 ...

Fractional Brownian Motion

Fractional Brownian Motion
  • Author : Oksana Banna,Yuliya Mishura,Kostiantyn Ralchenko,Sergiy Shklyar
  • Publisher : John Wiley & Sons
  • Release Date : 2019-04-09
  • Total pages : 293
  • ISBN : 0081023634
GET BOOK

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 ...

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
GET BOOK

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 ...

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes
  • Author : Yuliya Mishura
  • Publisher : Springer
  • Release Date : 2008-04-12
  • Total pages : 398
  • ISBN : 0081023634
GET BOOK

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 ...

Stochastic and Infinite Dimensional Analysis

Stochastic and Infinite Dimensional Analysis
  • Author : Christopher C. Bernido,Maria Victoria Carpio-Bernido,Martin Grothaus,Tobias Kuna,Maria João Oliveira,José Luís da Silva
  • Publisher : Birkhäuser
  • Release Date : 2016-08-10
  • Total pages : 300
  • ISBN : 0081023634
GET BOOK

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 ...

Stochastic Analysis and Applications

Stochastic Analysis and Applications
  • Author : Yeol Je Cho
  • Publisher : Nova Publishers
  • Release Date : 2000
  • Total pages : 130
  • ISBN : 0081023634
GET BOOK

Summary : Download or read online Stochastic Analysis and Applications written by Yeol Je Cho, published by Nova Publishers which was released on 2000. Get Stochastic Analysis and Applications Books now! Available in PDF, ePub and Kindle....

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
GET BOOK

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 ...

Analysis of Variations for Self similar Processes

Analysis of Variations for Self similar Processes
  • Author : Ciprian Tudor
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-08-13
  • Total pages : 268
  • ISBN : 0081023634
GET BOOK

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 ...

Stochastic Models

Stochastic Models
  • Author : José González-Barrios,Ana Meda
  • Publisher : American Mathematical Soc.
  • Release Date : 2003
  • Total pages : 272
  • ISBN : 0081023634
GET BOOK

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 ...

S minaire de Probabilit s XLIII

S  minaire de Probabilit  s XLIII
  • Author : Catherine Donati Martin,Antoine Lejay,Alain Rouault
  • Publisher : Springer
  • Release Date : 2010-10-20
  • Total pages : 503
  • ISBN : 0081023634
GET BOOK

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 ...

Mathematical Finance

Mathematical Finance
  • Author : Workshop of the Mathematical Finance Research Project
  • Publisher : Springer Science & Business Media
  • Release Date : 2001-06
  • Total pages : 374
  • ISBN : 0081023634
GET BOOK

Summary : The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a ...

Stochastic Processes and Applications

Stochastic Processes and Applications
  • Author : Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić
  • Publisher : Springer
  • Release Date : 2018-12-05
  • Total pages : 475
  • ISBN : 0081023634
GET BOOK

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 ...

Statistical Inference for Fractional Diffusion Processes

Statistical Inference for Fractional Diffusion Processes
  • Author : B. L. S. Prakasa Rao
  • Publisher : John Wiley & Sons
  • Release Date : 2011-07-05
  • Total pages : 280
  • ISBN : 0081023634
GET BOOK

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 ...

Beyond The Triangle Brownian Motion Ito Calculus And Fokker planck Equation Fractional Generalizations

Beyond The Triangle  Brownian Motion  Ito Calculus  And Fokker planck Equation   Fractional Generalizations
  • Author : Sabir Umarov,Marjorie Hahn,Kei Kobayashi
  • Publisher : World Scientific
  • Release Date : 2018-02-13
  • Total pages : 192
  • ISBN : 0081023634
GET BOOK

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 ...

Mathematical Reviews

Mathematical Reviews
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2008
  • Total pages : 212
  • ISBN : 0081023634
GET BOOK

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....