June 17, 2021

Download Ebook Free Stochastic Analysis Of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes

Stochastic Analysis of Mixed Fractional Gaussian Processes
Author : Yuliya Mishura,Mounir Zili
Publisher : Elsevier
Release Date : 2018-05-26
Category : Mathematics
Total pages :210
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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

Modern Problems of Stochastic Analysis and Statistics

Modern Problems of Stochastic Analysis and Statistics
Author : Vladimir Panov
Publisher : Springer
Release Date : 2017-11-21
Category : Mathematics
Total pages :511
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This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes
Author : Yuliya Mishura
Publisher : Springer
Release Date : 2008-04-12
Category : Mathematics
Total pages :398
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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 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.

Annales de la faculté des sciences de Toulouse

Annales de la faculté des sciences de Toulouse
Author : Anonim
Publisher : Unknown
Release Date : 2006
Category : Mathematics
Total pages :129
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Mathematical Reviews

Mathematical Reviews
Author : Anonim
Publisher : Unknown
Release Date : 2008
Category : Mathematics
Total pages :129
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Statistical Inference for Fractional Diffusion Processes

Statistical Inference for Fractional Diffusion Processes
Author : B. L. S. Prakasa Rao
Publisher : John Wiley & Sons
Release Date : 2011-07-05
Category : Mathematics
Total pages :280
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Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path of the process over a finite interval is observable. Key features: Introduces self-similar processes, fractional Brownian motion and stochastic integration with respect to fractional Brownian motion. Provides a comprehensive review of statistical inference for processes driven by fractional Brownian motion for modelling long range dependence. Presents a study of parametric and nonparametric inference problems for the fractional diffusion process. Discusses the fractional Brownian sheet and infinite dimensional fractional Brownian motion. Includes recent results and developments in the area of statistical inference of fractional diffusion processes. Researchers and students working on the statistics of fractional diffusion processes and applied mathematicians and statisticians involved in stochastic process modelling will benefit from this book.

Government Reports Announcements & Index

Government Reports Announcements & Index
Author : Anonim
Publisher : Unknown
Release Date : 1992
Category : Science
Total pages :129
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Bulletin

Bulletin
Author : Anonim
Publisher : Unknown
Release Date : 1996
Category :
Total pages :129
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Stochastic Analysis and Applications to Finance

Stochastic Analysis and Applications to Finance
Author : Tusheng Zhang
Publisher : World Scientific
Release Date : 2012
Category : Electronic books
Total pages :465
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This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory. It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance. Sample Chapter(s). Editorial Foreword (58 KB). Chapter 1: Non-Linear Evolution Equations Driven by Rough Paths (399 KB). Contents: Non-Linear Evolution Equations Driven by Rough Paths (Thomas Cass, Zhongmin Qian and Jan Tudor); Optimal Stopping Times with Different Information Levels and with Time Uncertainty (Arijit Chakrabarty and Xin Guo); Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs (Yingshan Chen, Min Dai and Kun Zhao); MUniform Integrability of Exponential Martingales and Spectral Bounds of Non-Local Feynman-Kac Semigroups (Zhen-Qing Chen); Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions (Xiangyu Cui, Jianjun Gao and Duan Li); Quantifying Model Uncertainties in the Space of Probability Measures (J Duan, T Gao and G He); A PDE Approach to Multivariate Risk Theory (Robert J Elliott, Tak Kuen Siu and Hailiang Yang); Stochastic Analysis on Loop Groups (Shizan Fang); Existence and Stability of Measure Solutions for BSDE with Generators of Quadratic Growth (Alexander Fromm, Peter Imkeller and Jianing Zhang); Convex Capital Requirements for Large Portfolios (Hans FAllmer and Thomas Knispel); The Mixed Equilibrium of Insider Trading in the Market with Rational Expected Price (Fuzhou Gong and Hong Liu); Some Results on Backward Stochastic Differential Equations Driven by Fractional Brownian Motions (Yaozhong Hu, Daniel Ocone and Jian Song); Potential Theory of Subordinate Brownian Motions Revisited (Panki Kim, Renming Song and Zoran Vondraiek); Research on Social Causes of the Financial Crisis (Steven Kou); Wick Formulas and Inequalities for the Quaternion Gaussian and -Permanental Variables (Wenbo V Li and Ang Wei); Further Study on Web Markov Skeleton Processes (Yuting Liu, Zhi-Ming Ma and Chuan Zhou); MLE of Parameters in the Drifted Brownian Motion and Its Error (Lemee Nakamura and Weian Zheng); Optimal Partial Information Control of SPDEs with Delay and Time-Advanced Backward SPDEs (Bernt yksendal, Agn s Sulem and Tusheng Zhang); Simulation of Diversified Portfolios in Continuous Financial Markets (Eckhard Platen and Renata Rendek); Coupling and Applications (Feng-Yu Wang); SDEs and a Generalised Burgers Equation (Jiang-Lun Wu and Wei Yang); Mean-Variance Hedging in the Discontinuous Case (Jianming Xia). Readership: Graduates and researchers in stochatic analysis and mathematical finance.

Dissertation Abstracts International

Dissertation Abstracts International
Author : Anonim
Publisher : Unknown
Release Date : 2008
Category : Dissertations, Academic
Total pages :129
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Current Index to Statistics, Applications, Methods and Theory

Current Index to Statistics, Applications, Methods and Theory
Author : Anonim
Publisher : Unknown
Release Date : 1998
Category : Mathematical statistics
Total pages :129
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The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.

Comprehensive Dissertation Index

Comprehensive Dissertation Index
Author : Anonim
Publisher : Unknown
Release Date : 1989
Category : Dissertations, Academic
Total pages :129
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Vols. for 1973- include the following subject areas: Biological sciences, Agriculture, Chemistry, Environmental sciences, Health sciences, Engineering, Mathematics and statistics, Earth sciences, Physics, Education, Psychology, Sociology, Anthropology, History, Law & political science, Business & economics, Geography & regional planning, Language & literature, Fine arts, Library & information science, Mass communications, Music, Philosophy and Religion.

INET'95 Conference Proceedings

INET'95 Conference Proceedings
Author : Anonim
Publisher : Unknown
Release Date : 1995
Category : Computer networks
Total pages :129
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Trabajos de estadística y de investigación operativa

Trabajos de estadística y de investigación operativa
Author : Anonim
Publisher : Unknown
Release Date : 1980
Category : Statistics
Total pages :129
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An Author and Permuted Title Index to Selected Statistical Journals

An Author and Permuted Title Index to Selected Statistical Journals
Author : Brian L. Joiner
Publisher : Unknown
Release Date : 1970
Category :
Total pages :129
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