Stochastic Calculus for Fractional Brownian Motion and Applications
By: Biagini, Francesca [author.].
Contributor(s): [author.1 ] | Z [author.1 ] | S [author.2 ] | S.
Material type: BookSeries: Probability and Its Applications.London : Springer London, 2008. Description: XII, 330 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9781846287978.Subject(s): | | | | | | | | DDC classification: 519.2 Online resources: Click here to access online
Contents:
In:
Summary:
Fractional Brownian motion -- Intrinsic properties of the fractional Brownian motion -- Stochastic calculus -- Wiener and divergence-type integrals for fractional Brownian motion -- Fractional Wick It� Skorohod (fWIS) integrals for fBm of Hurst index H >1/2 -- WickIt� Skorohod (WIS) integrals for fractional Brownian motion -- Pathwise integrals for fractional Brownian motion -- A useful summary -- Applications of stochastic calculus -- Fractional Brownian motion in finance -- Stochastic partial differential equations driven by fractional Brownian fields -- Stochastic optimal control and applications -- Local time for fractional Brownian motion.
Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|
PK Kelkar Library, IIT Kanpur | Available | EBKS00010344 |
Total holds: 0
Fractional Brownian motion -- Intrinsic properties of the fractional Brownian motion -- Stochastic calculus -- Wiener and divergence-type integrals for fractional Brownian motion -- Fractional Wick It� Skorohod (fWIS) integrals for fBm of Hurst index H >1/2 -- WickIt� Skorohod (WIS) integrals for fractional Brownian motion -- Pathwise integrals for fractional Brownian motion -- A useful summary -- Applications of stochastic calculus -- Fractional Brownian motion in finance -- Stochastic partial differential equations driven by fractional Brownian fields -- Stochastic optimal control and applications -- Local time for fractional Brownian motion.
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