Stochastic Analysis of Mixed Fractional Gaussian Processes (Hardcover)

Stochastic Analysis of Mixed Fractional Gaussian Processes By Yuliya Mishura, Mounir Zili Cover Image

Stochastic Analysis of Mixed Fractional Gaussian Processes (Hardcover)

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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 in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts.

Product Details ISBN: 9781785482458
ISBN-10: 1785482459
Publisher: Iste Press - Elsevier
Publication Date: May 22nd, 2018
Pages: 210
Language: English