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Ambit Stochastics (Hardcover, 1st ed. 2018)
Loot Price: R3,869
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Ambit Stochastics (Hardcover, 1st ed. 2018)
Series: Probability Theory and Stochastic Modelling, 88
Expected to ship within 10 - 15 working days
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Drawing on advanced probability theory, Ambit Stochastics is used
to model stochastic processes which depend on both time and space.
This monograph, the first on the subject, provides a reference for
this burgeoning field, complete with the applications that have
driven its development. Unique to Ambit Stochastics are ambit sets,
which allow the delimitation of space-time to a zone of interest,
and ambit fields, which are particularly well-adapted to modelling
stochastic volatility or intermittency. These attributes lend
themselves notably to applications in the statistical theory of
turbulence and financial econometrics. In addition to the theory
and applications of Ambit Stochastics, the book also contains new
theory on the simulation of ambit fields and a comprehensive
stochastic integration theory for Volterra processes in a
non-semimartingale context. Written by pioneers in the subject,
this book will appeal to researchers and graduate students
interested in empirical stochastic modelling.
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