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...
| Main Authors: | , , |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2018, 2018
|
| Edition: | 1st ed. 2018 |
| Series: | Probability Theory and Stochastic Modelling
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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