Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart

Ambit Stochastics (eBook, PDF)

• Format: PDF

Produktbeschreibung

Produktdetails

• Verlag: Springer International Publishing
• Erscheinungstermin: 1. November 2018
• Englisch
• ISBN-13: 9783319941295
• Artikelnr.: 56814919

Autorenporträt

Inhaltsangabe

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Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.

Rezensionen

"The author pays a great attention to diverse methods of numerical integration and simulation algorithms. ... The authors have written a fundamental book on contemporary probability theory and its applications. The book can be strongly recommended to theorists and applied scientists." (Jordan M. Stoyanov, zbMATH 1472.60002, 2021)"
"The book is very well written ... . this monograph is particularly suitable for getting acquainted with the subject, or for getting precise material on one particular sub-topic about ambit fields." (Anthony Réveillac, Mathematical Reviews, January, 2020)