Stochastic Calculus for Fractional Brownian Motion and Applications

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

Book Overview

Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study, and it's also what makes this book such an important contribution to the field. The purpose of the text here is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications...

• 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"