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Stochastic Calculus for Fractional Brownian Motion and Related Processes: 1929 2008th Edition
Author(s): Yuliya Mishura (Author)
- Publisher: Springer
- Publication Date: 30 Nov. 2007
- Edition: 2008th
- Language: English
- Print length: 416 pages
- ISBN-10: 3540758720
- ISBN-13: 9783540758723
Book Description
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.
Editorial Reviews
From the Back Cover
The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0
