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Stochastic differential equations driven by fractional Brownian motion with Hurst parameter 1/2<H<1 and Young integral

Stochastic differential equations driven by fractional Brownian motion with Hurst parameter 1/2

von Touhami Radhia
Softcover - 9786200477767
54,90 €
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Beschreibung

In this work we introduce the fractional Brownian motion with Hurst parameter H>1/2 and its simulation using R, we study the stochastic integral in Young sense and we prove the existence and the uniqueness of the solution of stochastic differential equations driven by the corresponding noise.In this study of long-term storage capacity and design of reservoirs based on investigations of river water levels along the Nile, Hurst observed a phenomenon which is invariant to changes in scale. Such a scale-invariant phenomenon was also observed in studies of problems connected with traffic patterns of packet flows in high-speed data networks such as the Internet.

Details

Verlag LAP LAMBERT Academic Publishing
Ersterscheinung 25. November 2019
Maße 22 cm x 15 cm x 0.8 cm
Gewicht 197 Gramm
Format Softcover
ISBN-13 9786200477767
Seiten 120

Schlagwörter

Mathematik