Stochastic calculus for fractional Brownian motion and related processes [electronic resource] / Yuliya S. Mishura.

Bibliographic Details
Uniform Title:Lecture notes in mathematics (Springer-Verlag) ; 1929.
Main Author: Mishura, I︠U︡lii︠a︡ S.
Language:English
Published: Berlin ; New York : Springer-Verlag, c2008.
Series:Lecture notes in mathematics (Springer-Verlag) ; 1929.
Subjects:
Brownian motion processes > Mathematical models.
Stochastic analysis.
Online Access:
Springer English/International eBooks 2008 - Full Set: 2008 (Springer Link)
Variant Title:
Fractional Brownian motion and related processes
Format: Electronic eBook
Contents:
  • Wiener integration with respect to fractional Brownian motion
  • Stochastic integration with respect to fBm and related topics
  • Stochastic differential equations involving fractional Brownian motion
  • Filtering in systems with fractional Brownian noise
  • Financial applications of fractional Brownian motion
  • Tactical inference with fractional Brownian motion
  • A: Mandelbrot-van Ness representation : some related calculations
  • Approximation of beta integrals and estimation of kernels.