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Stochastic Calculus for Fractional Brownian Motion and Applications

Francesca Biagini, Yaozhong Hu, Bernt Øksendal, and Tusheng Zhang
Publisher: 
Springer
Publication Date: 
2008
Number of Pages: 
329
Format: 
Hardcover
Series: 
Probability and Its Applications
Price: 
99.00
ISBN: 
9781852339968
Category: 
Monograph
We do not plan to review this book.

Part I: Fractional Brownian Motion.- Intrinsic properties of the fractional Brownian motion. Part II: Stochastic Calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick-Itô-Skorohod (fWIS-) integrals for fractional Brownian motion of Hurst Index H > ½.- Wick-Itô-Skorohod integrals for fractional Brownian motion.- Pathwise integrals for fractional Brownian motion.- A useful summary. Part III: Applications of Stochastic Calculus.- Fractional Brownian motion in finance.- Stochastic partial differential equations driven by fractional Brownian fields.- Stochastic optimal control and applications.- Local time for fractional Brownian motion. Part IV: Appendices.- Classical Malliavin calculus.- Notions from fractional calculus.- Estimation of Hurst parameter.- Stochastic differential equations for fBm.- References.- List of symbols and notation.- Index.

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