Stochastic analysis of mixed fractional Gaussian processes.

Stochastic analysis of mixed fractional Gaussian processes.

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Bibliographic Details
Author / Creator:Mishura, I︠U︡lii︠a︡ S.
Imprint:London : ISTE Press, 2018.
Description:1 online resource
Language:English
Subject:
Gaussian processes.
Stochastic processes.
Gaussian processes.
Stochastic processes.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11736700
Hidden Bibliographic Details
Other authors / contributors:Zili, Mounir.
ISBN:9780081023631
0081023634
9781785482458
Notes:Online resource; title from PDF title page (EBSCO, viewed June 1, 2018)
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 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.

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