Selected Aspects Of Fractional Brownian Motion
DOWNLOAD
Download Selected Aspects Of Fractional Brownian Motion PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Selected Aspects Of Fractional Brownian Motion book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Selected Aspects Of Fractional Brownian Motion
DOWNLOAD
Author : Ivan Nourdin
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-17
Selected Aspects Of Fractional Brownian Motion written by Ivan Nourdin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-17 with Mathematics categories.
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.
Stochastic Calculus For Fractional Brownian Motion And Applications
DOWNLOAD
Author : Francesca Biagini
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-02-17
Stochastic Calculus For Fractional Brownian Motion And Applications written by Francesca Biagini and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-17 with Mathematics categories.
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.
Normal Approximations With Malliavin Calculus
DOWNLOAD
Author : Ivan Nourdin
language : en
Publisher: Cambridge University Press
Release Date : 2012-05-10
Normal Approximations With Malliavin Calculus written by Ivan Nourdin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-10 with Mathematics categories.
This book shows how quantitative central limit theorems can be deduced by combining two powerful probabilistic techniques: Stein's method and Malliavin calculus.
Fractional Brownian Motion
DOWNLOAD
Author : Oksana Banna
language : en
Publisher: John Wiley & Sons
Release Date : 2019-04-30
Fractional Brownian Motion written by Oksana Banna and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-30 with Mathematics categories.
This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained.
Stochastic Calculus For Fractional Brownian Motion And Related Processes
DOWNLOAD
Author : Yuliya Mishura
language : en
Publisher: Springer
Release Date : 2008-04-12
Stochastic Calculus For Fractional Brownian Motion And Related Processes written by Yuliya Mishura and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-12 with Mathematics categories.
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Stochastic Analysis Of Mixed Fractional Gaussian Processes
DOWNLOAD
Author : Yuliya Mishura
language : en
Publisher: Elsevier
Release Date : 2018-05-26
Stochastic Analysis Of Mixed Fractional Gaussian Processes written by Yuliya Mishura and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-26 with Mathematics categories.
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. Presents both mixed fractional and sub-fractional Brownian motions Provides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD students Includes different Hurst indices
Stochastic Calculus Via Regularizations
DOWNLOAD
Author : Francesco Russo
language : en
Publisher: Springer Nature
Release Date : 2022-11-15
Stochastic Calculus Via Regularizations written by Francesco Russo and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-15 with Mathematics categories.
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
Brownian Motion
DOWNLOAD
Author : Peter Mörters
language : en
Publisher: Cambridge University Press
Release Date : 2010-03-25
Brownian Motion written by Peter Mörters and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-25 with Mathematics categories.
This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.
Ambit Stochastics
DOWNLOAD
Author : Ole E. Barndorff-Nielsen
language : en
Publisher: Springer
Release Date : 2018-11-01
Ambit Stochastics written by Ole E. Barndorff-Nielsen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-01 with Mathematics categories.
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.
Long Range Dependence And Self Similarity
DOWNLOAD
Author : Vladas Pipiras
language : en
Publisher: Cambridge University Press
Release Date : 2017-04-18
Long Range Dependence And Self Similarity written by Vladas Pipiras and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-18 with Business & Economics categories.
A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.