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Statistical Inference for Fractional Diffusion Processes

over a finite interval is observable. Key features: * Introduces self-similar processes, fractional Brownian motion and stochastic integration;

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Stochastic Calculus for Fractional Brownian Motion and Applications

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give;

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Stochastic Calculus for Fractional Brownian Motion and Applications

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Brownian Motion Martingales and Stochastic Calculus

mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such;

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Theory and Statistical Applications of Stochastic Processes

Gaussian processes, Ito integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation;

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Brownian Models of Performance and Control

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Brownian Motion

of the fractional Brownian motion and its applications on coastal dispersion modelling.;

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Fractional Calculus and Fractional Processes with Applications to Financial Economics

calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization;

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Brownian Motion and Stochastic Calculus

stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example;

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Stochastic Calculus and Differential Equations for Physics and Finance

series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional;

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Generalized Functionals Of Brownian Motion And Their Applications

fundamental processes such as fractional Brownian motion and Levy process - covering the classical Wiener-Ito class including the generalized;

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Parameter Estimation in Fractional Diffusion Models

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years;

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Long-range Dependence and Self-similarity

limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion;

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Stochastic Analysis & Applications

of Large Numbers for Fuzzy Numbers with Unbounded Supports; On Moduli of Continuity for a Two-Parameter Fractional Lvy Brownian Motion on;

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An Introduction to Stochastic Integration

of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time;

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From Measures to Ito Integrals

From Measures to Ito Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Ito integrals and a brief;

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Stochastic Analysis of Mixed Fractional Gaussian Processes

focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst;

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Brownian Motion and Its Applications to Mathematical Analysis

Brownian motion and analysis. Brownian motion is a well-suited model for a wide range of real random phenomena, from chaotic oscillations;

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Fractional Calculus with Applications for Nuclear Reactor Dynamics

calculus and the numerical solution for fractional neutron point kinetic equation (FNPKE), introduces the technique for efficient and accurate;

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Fractional Calculus with Applications for Nuclear Reactor Dynamics

calculus and the numerical solution for fractional neutron point kinetic equation (FNPKE), introduces the technique for efficient and accurate;

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Malliavin Calculus For Levy Processes And Infinite-Dimension

calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework;

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Stochastic Processes

resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes;

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Malliavin Calculus in Finance

. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and;

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