Parameter Estimation in Fractional Diffusion Models

Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Parameter Estimation in Fractional Diffusion Models by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko ISBN: 9783319710303
Publisher: Springer International Publishing Publication: January 4, 2018
Imprint: Springer Language: English
Author: Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
ISBN: 9783319710303
Publisher: Springer International Publishing
Publication: January 4, 2018
Imprint: Springer
Language: English

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. 

The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. 

The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.

More books from Springer International Publishing

Cover of the book Web-Age Information Management by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Alopecia Areata by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Thomas Hardy and History by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Neutronic Analysis For Nuclear Reactor Systems by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Modelling Public Transport Passenger Flows in the Era of Intelligent Transport Systems by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Advances in Speech and Language Technologies for Iberian Languages by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Gender and Corruption by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Bariatric Surgery Complications and Emergencies by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Authenticity: The Cultural History of a Political Concept by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book The Role of Civil Society in Africa’s Quest for Democratization by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Regulation of Ca2+-ATPases,V-ATPases and F-ATPases by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Ramanujan Summation of Divergent Series by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Gangs and Spirituality by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Engineering Psychology and Cognitive Ergonomics: Performance, Emotion and Situation Awareness by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
Cover of the book Luigi L. Pasinetti: An Intellectual Biography by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy