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.
Or split into 4x interest-free payments of 25% on orders over R50
Learn more
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.
Imprint | Springer London |
Country of origin | United Kingdom |
Series | Probability and Its Applications |
Release date | October 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2008 |
Authors | Francesca Biagini, Yaozhong Hu, Bernt Oksendal, Tusheng Zhang |
Dimensions | 235 x 155 x 24mm (L x W x T) |
Format | Paperback |
Pages | 330 |
Edition | Softcover reprint of hardcover 1st ed. 2008 |
ISBN-13 | 978-1-84996-994-9 |
Barcode | 9781849969949 |
Categories | |
LSN | 1-84996-994-9 |