$Stochastic calculus for fractional Brownian motion and related processes /$

Stochastic calculus for fractional Brownian motion and related processes /

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Bibliographic Details
Author / Creator:	Mishura, I︠U︡lii︠a︡ S.
Imprint:	Berlin ; New York : Springer-Verlag, ©2008.
Description:	1 online resource (xvii, 393 pages).
Language:	English
Series:	Lecture notes in mathematics, 0075-8434 ; 1929 Lecture notes in mathematics (Springer-Verlag) ; 1929.
Subject:	Brownian motion processes -- Mathematical models. Stochastic analysis. Stochastic analysis.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11067425

Hidden Bibliographic Details
Varying Form of Title:	Fractional Brownian motion and related processes
ISBN:	9783540758730 3540758739 3540758720 9783540758723
Notes:	Includes bibliographical references (pages 369-389) and index. Print version record.
Other form:	Print version: Mishura, I︠U︡lii︠a︡ S. Stochastic calculus for fractional Brownian motion and related processes. Berlin ; New York : Springer-Verlag, ©2008 3540758720

Description
Summary:	This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Physical Description:	1 online resource (xvii, 393 pages).
Bibliography:	Includes bibliographical references (pages 369-389) and index.
ISBN:	9783540758730 3540758739 3540758720 9783540758723
ISSN:	0075-8434 ;