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008			150903s2008 xxk| o |||| 0|eng d
020			_a9781846287978 _99781846287978
024	7		_a10.1007/9781846287978 _2doi
035			_avtls000344021
039		9	_a201509030357 _bVLOAD _c201405050301 _dVLOAD _y201402061246 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aQA273.A1-274.9
100	1		_aBiagini, Francesca. _eautor _9315569
245	1	0	_aStochastic Calculus for Fractional Brownian Motion and Applications / _cby Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang.
264		1	_aLondon : _bSpringer London, _c2008.
300			_brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aProbability and Its Applications, _x1431-7028
500			_aSpringer eBooks
505	0		_aFractional Brownian motion -- Intrinsic properties of the fractional Brownian motion -- Stochastic calculus -- Wiener and divergence-type integrals for fractional Brownian motion -- Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2 -- WickItô Skorohod (WIS) integrals for fractional Brownian motion -- Pathwise integrals for fractional Brownian motion -- A useful summary -- Applications of stochastic calculus -- Fractional Brownian motion in finance -- Stochastic partial differential equations driven by fractional Brownian fields -- Stochastic optimal control and applications -- Local time for fractional Brownian motion.
520			_aFractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. fBm represents a natural one-parameter extension of classical Brownian motion therefore it is natural to ask if a stochastic calculus for fBm can be developed. This is not obvious, since fBm is neither a semimartingale (except when H = ½), nor a Markov process so the classical mathematical machineries for stochastic calculus are not available in the fBm case. Several approaches have been used to develop the concept of stochastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance. Aspects of the book will also be useful in other fields where fBm can be used as a model for applications.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aHu, Yaozhong. _eautor _9317288
700	1		_aØksendal, Bernt. _eautor _9305645
700	1		_aZhang, Tusheng. _eautor _9305647
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9781852339968
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-1-84628-797-8 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c291739 _d291739