STOCH ANAL, STOCH SYST, & APPL TO FINAN

STOCH ANAL, STOCH SYST, & APPL TO FINAN

Autore: Tsoi Allanus Hak-man, Nualart David, Yin George Gang
Editore: World Scientific Publishing Company
Data di pubblicazione: 2011
ISBN: 9789814355704

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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 operators
  • Some up-to-date treatment is of the invariance principle of regime-switching diffusion are given in detail

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