Stochastic Analysis of Mixed Fractional Gaussian Processes

ISBN: 9781785482458 出版年：2018 页码：212 Mishura, Yuliya Zili, Mounir ISTE Press - Elsevier_RM

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 motionsProvides an accessible description for mixed fractional gaussian processes that is ideal for Master's and PhD studentsIncludes different Hurst indices