Stochastic analysis of mixed fractional Gaussian processes.
General Material Designation
[Book]
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
London :
Name of Publisher, Distributor, etc.
ISTE Press,
Date of Publication, Distribution, etc.
2018.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource
SUMMARY OR ABSTRACT
Text of Note
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.