Stochastic Analysis of Mixed Fractional Gaussian Processes
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...
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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.
Bibliographische Angaben
- Autoren: Yuliya Mishura , Mounir Zili
- Verlag: Elsevier Science & Technology
- EAN: 9781785482458
Autoren-Porträt von Yuliya Mishura, Mounir Zili
Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.
Inhaltsverzeichnis zu „Stochastic Analysis of Mixed Fractional Gaussian Processes “
1. Gaussian Processes 2. Fractional and Sub-fractional Brownian Motions 3. Mixed Fractional and Mixed Sub-fractional Brownian Motions
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