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Parameter Estimation in Fractional Diffusion Models by Kęstutis Kubilius,Yuliya Mishura,Kostiantyn Ralchenko (auth.) is a nonfiction available to read on EtoBox.

What is Parameter Estimation in Fractional Diffusion Models about?

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field.  The book is addressed to specialists and researcher

Who reads Parameter Estimation in Fractional Diffusion Models?

Author

Kęstutis Kubilius,Yuliya Mishura,Kostiantyn Ralchenko (auth.)

Publisher

Springer International Publishing : Imprint : Springer

Published

2017

Language

EN

ISBN

9783319710297

Category

nonfiction

Subjects

Mathematics, Science, Physics