Stochastic Calculus for Fractional Brownian Motion and Applications

by Bernt Øksendal, Tusheng Zhang, Yaozhong Hu, et al.

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 1849969949
• ISBN13: 9781849969949
• Release Date: October 2010
• Publisher: Springer
• Length: 330 Pages
• Weight: 1.06 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"