Stochastic Analysis of Mixed Fractional Gaussian Processes

Nonfiction, Science & Nature, Mathematics, Probability, Statistics
Cover of the book Stochastic Analysis of Mixed Fractional Gaussian Processes by Yuliya Mishura, Mounir Zili, Elsevier Science
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Author: Yuliya Mishura, Mounir Zili ISBN: 9780081023631
Publisher: Elsevier Science Publication: May 26, 2018
Imprint: ISTE Press - Elsevier Language: English
Author: Yuliya Mishura, Mounir Zili
ISBN: 9780081023631
Publisher: Elsevier Science
Publication: May 26, 2018
Imprint: ISTE Press - Elsevier
Language: English
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

  • Presents both mixed fractional and sub-fractional Brownian motions
  • Provides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD students
  • Includes different Hurst indices
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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.

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