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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