Stochastic Analysis of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes

1st Edition - May 22, 2018

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  • Authors: Yuliya Mishura, Mounir Zili
  • eBook ISBN: 9780081023631
  • Hardcover ISBN: 9781785482458

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Description

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.

Key Features

  • 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

Readership

Master's and Phd students and researchers specializing in statistics, stochastics and finances

Table of Contents

  • 1. Gaussian Processes
    2. Fractional and Sub-fractional Brownian Motions
    3. Mixed Fractional and Mixed Sub-fractional Brownian Motions

Product details

  • No. of pages: 210
  • Language: English
  • Copyright: © ISTE Press - Elsevier 2018
  • Published: May 22, 2018
  • Imprint: ISTE Press - Elsevier
  • eBook ISBN: 9780081023631
  • Hardcover ISBN: 9781785482458

About the Authors

Yuliya Mishura

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.

Affiliations and Expertise

Head, Department of Probability, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko Kyiv National University, Kiev, Ukraine

Mounir Zili

Mounir Zili works at the University of Monastir, Faculty of sciences of Monastir with expertise in Probability Theory, Applied Mathematics, Analysis

Affiliations and Expertise

Professor, Faculty of Sciences, Monastir-University of Monastir

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