Bøker av Yuliya Mishura

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.

Providing the necessary materials within a theoretical framework, this volume presents stochastic principles and processes, and related areas. Over 1000 exercises illustrate the concepts discussed, including modern approaches to sample paths and optimal stopping.