Ambit Stochastics

Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Am...

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Hlavní autor: Barndorff-Nielsen, Ole E. (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Cham : Springer International Publishing, 2018.
Vydání:1st ed. 2018.
Edice:Probability Theory and Stochastic Modelling, 88
Témata:
Probabilities.
Mathematical physics.
Economics, Mathematical .
Statistics .
ISBN:9783319941295
ISSN:2199-3130 ;
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Obsah:
  • Part I The purely temporal case
  • 1 Volatility modulated Volterra processes
  • 2 Simulation
  • 3 Asymptotic theory for power variation of LSS processes
  • 4 Integration with respect to volatility modulated Volterra processes
  • Part II The spatio-temporal case
  • 5 The ambit framework
  • 6 Representation and simulation of ambit fields
  • 7 Stochastic integration with ambit fields as integrators
  • 8 Trawl processes
  • Part III Applications
  • 9 Turbulence modelling
  • 10 Stochastic modelling of energy spot prices by LSS processes
  • 11 Forward curve modelling by ambit fields
  • Appendix A: Bessel functions
  • Appendix B: Generalised hyperbolic distribution
  • References
  • Index.

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