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...

Full description

Main Authors: Barndorff-Nielsen, Ole E., Benth, Fred Espen (Author), Veraart, Almut E. D. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2018, 2018
Edition:1st ed. 2018
Series:Probability Theory and Stochastic Modelling
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Summary: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
Physical Description:XXV, 402 p. 39 illus., 25 illus. in color online resource
ISBN:9783319941295