Stochastic Calculus for Fractional Brownian Motion and Applications

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Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. Several approaches have been used to develop the concept of stochastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of stoc...

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Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. Several approaches have been used to develop the concept of stochastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of stoc...

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  • Formats: pdf
  • ISBN: 9781846287978
  • Publication Date: 17 Feb 2008
  • Publisher: Springer London
  • Product language: English
  • Drm Setting: DRM