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Parameter Estimation In Fractional Diffusion Models

by Yuliya Mishura, Kostiantyn Ralchenko e Kestutis Kubilius
language: english
Publisher: Springer International Publishing AG, June of 2019 ‧
106,80€
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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.

Parameter Estimation In Fractional Diffusion Models

by Yuliya Mishura, Kostiantyn Ralchenko e Kestutis Kubilius

Property Description
ISBN: 9783319890319
Publisher: Springer International Publishing AG
Release Date: June of 2019
Language: English
Dimensions: 155 x 235 x 20 mm
Cover: Softcover
Pages: 390
Format: Book
Collection: Bocconi & Springer Series
Categories: Books in English > Science > Mathematics
EAN: 9783319890319

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