Stochastic Analysis of Mixed Fractional Gaussian Processes

by Yuliya Mishura

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...

• Format: Hardcover
• Language: English
• ISBN: 1785482459
• ISBN13: 9781785482458
• Release Date: June 2018
• Publisher: Iste Press - Elsevier
• Length: 210 Pages
• Weight: 1.00 lbs.
• Dimensions: 0.5" x 6.0" x 9.0"