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商品詳細
Ambit Stochastics. Softcover reprint of the original 1st ed. 2018.
・ISBN 978-3-030-06802-8 paper EUR 129.99
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| 著者・編者 | Barndorff-Nielsen, Ole E. / Benth, Fred Espen / Veraart, Almut E. D., |
|---|---|
| シリーズ | Probability Theory and Stochastic Modelling |
| 出版社 | (Springer Nature Switzerland AG, SZ) |
| 出版年月 | 2018 |
| ページ数 | 402 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-3655＞ |
解説
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 Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context.
Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.