Stochastic Analysis of Mixed Fractional Gaussian Processes

Erscheinungsjahr 2018
ISBN: 978-1-78548-245-8
Verlag: Elsevier Science & Technology

Buch, Englisch, 210 Seiten, Format (B × H): 166 mm x 232 mm, Gewicht: 458 g

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.

Zielgruppe

Master's and Phd students and researchers, specialized in statistics, stochastics and finances

Autoren/Hrsg.

Mishura, Yuliya

Zili, Mounir

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik

Inhaltsverzeichnis

1. Gaussian Processes 2. Fractional and Sub-fractional Brownian Motions 3. Mixed Fractional and Mixed Sub-fractional Brownian Motions

Über Autor(innen)

Mishura, Yuliya
Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.

Zili, Mounir
Mounir Zili works at the University of Monastir, Faculty of sciences of Monastir with expertise in Probability Theory, Applied Mathematics, Analysis