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Fractional Brownian Motion /
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...
| Autores principales: | , , , |
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| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiley-ISTE,
2019.
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| Edición: | 1st edition. |
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
MARC
| LEADER | 00000cam a22000007a 4500 | ||
|---|---|---|---|
| 001 | OR_on1162607323 | ||
| 003 | OCoLC | ||
| 005 | 20231017213018.0 | ||
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| 007 | cr cnu|||||||| | ||
| 008 | 200701s2019 xx o 000 0 eng | ||
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| 020 | |z 9781786302601 | ||
| 020 | |z 9781119610335 | ||
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| 035 | |a (OCoLC)1162607323 | ||
| 049 | |a UAMI | ||
| 100 | 1 | |a Banna, Oksana, |e author. | |
| 245 | 1 | 0 | |a Fractional Brownian Motion / |c Banna, Oksana. |
| 250 | |a 1st edition. | ||
| 264 | 1 | |b Wiley-ISTE, |c 2019. | |
| 300 | |a 1 online resource (288 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file | ||
| 520 | |a 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. | ||
| 542 | |f Copyright © 2019 by John Wiley & Sons |g 2019 | ||
| 550 | |a Made available through: Safari, an O'Reilly Media Company. | ||
| 588 | |a Online resource; Title from title page (viewed April 30, 2019) | ||
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Brownian motion processes. | |
| 650 | 0 | |a Martingales (Mathematics) | |
| 650 | 6 | |a Processus de mouvement brownien. | |
| 650 | 6 | |a Martingales (Mathématiques) | |
| 650 | 7 | |a Brownian motion processes. |2 fast |0 (OCoLC)fst00839765 | |
| 650 | 7 | |a Martingales (Mathematics) |2 fast |0 (OCoLC)fst01010880 | |
| 700 | 1 | |a Mishura, Yuliya, |e author. | |
| 700 | 1 | |a Ralchenko, Kostiantyn, |e author. | |
| 700 | 1 | |a Shklyar, Sergiy, |e author. | |
| 710 | 2 | |a Safari, an O'Reilly Media Company. | |
| 856 | 4 | 0 | |u https://learning.oreilly.com/library/view/~/9781786302601/?ar |z Texto completo (Requiere registro previo con correo institucional) |
| 936 | |a BATCHLOAD | ||
| 994 | |a 92 |b IZTAP | ||