Stochastic calculus for fractional Brownian motion and related processes / Yuliya S. Mishura.

Author/creator Mishura, I͡Ulii͡a S.
Format Electronic
Publication InfoBerlin ; New York : Springer-Verlag,
Descriptionxvii, 393 p. ; 24 cm.
Supplemental ContentFull text available from SpringerLINK Lecture Notes in Mathematics Contemporary (1997-present)
Subjects
Brownian motion processes--Mathematical models.
Stochastic analysis.
Analyse stochastique.
Mouvement brownien, Processus de--Modèles mathématiques.
Mouvement brownien--Modèles mathématiques.

Portion of title Fractional Brownian motion and related processes
SeriesLecture notes in mathematics, 0075-8434 ; 1929
Lecture notes in mathematics (Springer-Verlag) ; 1929. ^A496146
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.
Bibliography noteIncludes bibliographical references (p. [369]-389) and index.
Access restrictionAvailable only to authorized users.
Technical detailsMode of access: World Wide Web
Genre/formElectronic books.
LCCN 2007939114
ISBN3540758720 (softcover : alk. paper)
ISBN9783540758723 (softcover : alk. paper)

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