Theory of Stochastic Integrals (eBook, ePUB)
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In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Itô theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and R...
In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Itô theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.
Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.
Features
Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.
Features
- Self-contained treatment of the topic
- Suitable as a teaching or research tool for those interested in stochastic analysis and its applications
- Includes original results.
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