Regularity and Integration Theory for a Class of Stochastic Processes: Applications to Parabolic Problems - Softcover

Sperlich, Stefan

Softcover

ISBN 10: 3838135954 ISBN 13: 9783838135953

Verlag: Südwestdeutscher Verlag für Hochschulschriften, 2012

Über diesen Titel

Reseña del editor:

This book aims to develop a general integration theory for stochastic processes with stationary increments and spectral density. This class of motions particularly allows the simultaneous study of long-range dependence and intermittency effects and includes the most relevant random processes used in modern stochastic analysis. So for instance the Wiener process, the fractional Brownian motion, the fractional Riesz-Bessel motion but also Poisson and Levy processes. The so obtained knowledge on generalised stochastic integration will be used to achieve regularity results and is applied to parabolic Volterra problems with random noise as well as to the problem of anomalous diffusion with stochastic disturbance along the boundary.

Biografía del autor:

Born and raised in Köthen, Stefan studied Mathematics and Economics in Halle (Saale). The father of two left the academic research after conferral of the doctorate in 2009 and crossed lines towards insurance industry.

Über diese Auflage

• Verlag: Südwestdeutscher Verlag für Hochschulschriften
• Erscheinungsdatum: 2012
• ISBN 10: 3838135954
• ISBN 13: 9783838135953
• Einband: Tapa blanda
• Anzahl der Seiten: 140