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Stochastic Calculus for Fractional Brownian Motion and Applications
Language: en
Pages: 331
Authors: Francesca Biagini
Categories: Mathematics
Type: BOOK - Published: 2008-02-17 - Publisher: Springer Science & Business Media

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The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the r
Stochastic Calculus for Fractional Brownian Motion and Related Processes
Language: en
Pages: 411
Authors: Yuliya Mishura
Categories: Mathematics
Type: BOOK - Published: 2008-01-02 - Publisher: Springer Science & Business Media

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This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probabilit
Brownian Motion, Martingales, and Stochastic Calculus
Language: en
Pages: 282
Authors: Jean-François Le Gall
Categories: Mathematics
Type: BOOK - Published: 2016-04-28 - Publisher: Springer

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This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimar
Brownian Motion and Stochastic Calculus
Language: en
Pages: 490
Authors: Ioannis Karatzas
Categories: Mathematics
Type: BOOK - Published: 2014-03-27 - Publisher: Springer

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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in
Stochastic Calculus and Financial Applications
Language: en
Pages: 303
Authors: J. Michael Steele
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

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Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction