Stochastic Analysis of Mixed Fractional Gaussian Processes

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  • Author : Yuliya Mishura
  • Publisher : Elsevier
  • Pages : 210 pages
  • ISBN : 0081023634
  • Rating : /5 from reviews
CLICK HERE TO GET THIS BOOK >>>Stochastic Analysis of Mixed Fractional Gaussian Processes

Download or Read online Stochastic Analysis of Mixed Fractional Gaussian Processes full in PDF, ePub and kindle. this book written by Yuliya Mishura and published by Elsevier which was released on 26 May 2018 with total page 210 pages. We cannot guarantee that Stochastic Analysis of Mixed Fractional Gaussian Processes book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 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

Stochastic Analysis of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes
  • Author : Yuliya Mishura,Mounir Zili
  • Publisher : Elsevier
  • Release : 26 May 2018
GET THIS BOOK Stochastic Analysis of Mixed Fractional Gaussian Processes

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

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  • Publisher : John Wiley & Sons
  • Release : 09 April 2019
GET THIS BOOK Fractional Brownian Motion

This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm

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  • Publisher : Springer
  • Release : 21 November 2017
GET THIS BOOK Modern Problems of Stochastic Analysis and Statistics

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  • Publisher : Springer
  • Release : 12 April 2008
GET THIS BOOK Stochastic Calculus for Fractional Brownian Motion and Related Processes

This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

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  • Release : 10 August 2016
GET THIS BOOK Stochastic and Infinite Dimensional Analysis

This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise

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  • Release : 25 October 2021
GET THIS BOOK Discrete Time Approximations and Limit Theorems

Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.

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  • Publisher : Springer
  • Release : 04 January 2018
GET THIS BOOK Parameter Estimation in Fractional Diffusion Models

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,”

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  • Publisher : Springer Science & Business Media
  • Release : 13 August 2013
GET THIS BOOK Analysis of Variations for Self similar Processes

Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian

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  • Publisher : American Mathematical Soc.
  • Release : 26 October 2021
GET THIS BOOK Stochastic Models

The volume includes lecture notes and research papers by participants of the Seventh Symposium on Probability and Stochastic Processes held in Mexico City. The lecture notes introduce recent advances in stochastic calculus with respect to fractional Brownian motion, principles of large deviations and of minimum entropy concerning equilibrium prices in random economic systems, and give a complete and thorough survey of credit risk theory. The research papers cover areas such as financial markets, Gaussian processes, stochastic differential equations, stochastic integration,

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  • Publisher : Springer
  • Release : 20 October 2010
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This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices

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  • Publisher : Springer Science & Business Media
  • Release : 01 June 2001
GET THIS BOOK Mathematical Finance

The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art.

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  • Release : 05 December 2018
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  • Author : B. L. S. Prakasa Rao
  • Publisher : John Wiley & Sons
  • Release : 05 July 2011
GET THIS BOOK Statistical Inference for Fractional Diffusion Processes

Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path

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  • Release : 13 February 2018
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The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker-Planck-Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker-Planck-Kolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators; and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction.This