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.
- ISBN10 1281220280
- ISBN13 9781281220288
- Publish Date 1 January 2008
- Publish Status Active
- Out of Print 25 March 2015
- Publish Country US
- Imprint Springer London
- Format eBook
- Pages 329
- Language English