Stochastic Analysis of Mixed Fractional Gaussian Processes (Hardcover)

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.

General

Imprint:	ISTE Press Ltd - Elsevier Inc
Country of origin:	United Kingdom
Release date:	May 2018
First published:	2018
Authors:	Yuliya Mishura • Mounir Zili
Dimensions:	229 x 152mm (L x W)
Format:	Hardcover
Pages:	210
ISBN-13:	978-1-78548-245-8
Categories:	Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN:	1-78548-245-9
Barcode:	9781785482458

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