Téléchargez le livre : Fractional Brownian Motion

Fractional Brownian Motion

Approximations and Projections de

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Éditeur :

Wiley-ISTE


Paru le : 2019-04-10

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Description

This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented.

As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained.
Pages
288 pages
Collection
n.c
Parution
2019-04-10
Marque
Wiley-ISTE
EAN papier
9781786302601
EAN PDF
9781119610342
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
288
Taille du fichier
3820 Ko
Prix
163,47 €
EAN EPUB
9781119610335
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
288
Taille du fichier
12370 Ko
Prix
163,47 €

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