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

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

Table of Contents:

Wiener integration with respect to fractional Brownian motion
Stochastic integration with respect to fBm and related topics
Stochastic differential equations involving fractional Brownian motion
Filtering in systems with fractional Brownian noise
Financial applications of fractional Brownian motion
Tactical inference with fractional Brownian motion
A: Mandelbrot-van Ness representation : some related calculations
Approximation of beta integrals and estimation of kernels.