Stochastic Calculus for Fractional Brownian Motion and Applications

丛 书 名：Probability and its Applications

版本说明：1

作     者：Francesca Biagini Yaozhong Hu Bernt Øksendal Tusheng Zhang 

I S B N：(纸本) 9781852339968 

出 版 社：Springer 

出 版 年：2008年

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

摘      要：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 resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.