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Stochastic Analysis of Mixed Fractional Gaussian Processes

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Stochastic Analysis of Mixed Fractional Gaussian Processes

Yuliya Mishura, Mounir Zili

Iste Press - Elsevier
Publication date : 2018-05-26

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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. - 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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About the book

Author

Yuliya Mishura , Mounir Zili

Imprint

Iste Press - Elsevier

Collection

n.c

Publication date

2018-05-26

Pages

210 pages

Print ISBN

9781785482458

Language

English

Ebook informations

EAN PDF

9780081023631

Price

£105.45

Copy count 21

Print count 21

File size 6830 Ko

Informations accessibility

EAN EPUB DRM-FREE

9780081023631

Price

£105.45

Informations accessibility

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About author(s)

Yuliya Mishura

Mounir Zili

Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.Mounir Zili works at the University of Monastir, Faculty of sciences of Monastir with expertise in Probability Theory, Applied Mathematics, Analysis

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