Stochastic Analysis, Stochastic Systems, and Applications to Finance.

Key Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick-Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the invariance principle of regime-switching diffusion are given in detail.

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Year of publication:	2011
Authors:	Tsoi, Allanus
Other Persons:	Nualart, David (contributor) ; Yin, George (contributor)
Publisher:	Singapore : World Scientific Publishing Co Pte Ltd
Subject:	Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Finanzmathematik \| Mathematical finance \| Algorithmus \| Algorithm
Description of contents:	Description [zbmath.org]

Extent:	1 online resource (274 pages)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based on publisher supplied metadata and other sources.
ISBN:	978-981-4355-71-1 ; 978-981-4355-70-4
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012689398