Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008) (Lecture Notes in Mathematics #1929)
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- Synopsis
- 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.
- Copyright:
- 2008
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783540758730
- Related ISBNs:
- 9783540758723
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 08/22/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.