Fractional S(p)des: Theory, Numerics, And Optimal Control by Wilfried Grecksch
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FRACTIONAL S(P)DES: THEORY, NUMERICS, AND OPTIMAL CONTROLAuthor(s): Wilfried Grecksch, Hannelore Lisei\nFormat: Hardback\nPublisher: World Scientific Publishing Co Pte Ltd, Singapore\nImprint: World Scientific Publishing Co Pte Ltd\nISBN-13: 9789819802098, 978-9819802098\nSynopsis\nRecent breakthroughs in volatility modelling have brought fractional stochastic calculus to a groundbreaking position. Readers of Fractional S(P)DEs will find a unique and comprehensive overview encompassing the theory and the numerics of both ordinary and partial differential equations (SDEs and SPDEs, respectively), driven by fractional Brownian [url] this book, both differential equations are considered with fractional noise, while also considering fractional derivatives in the case of SPDEs. Three primary aspects are pursued: Theory and numerics for rough SPDEs; Optimal control of both SDEs and SPDEs driven by fractional Brownian motions (and their applications); And numerics for time-fractional SPDEs .
Fractional S(p)des: Theory, Numerics, And Optimal Control by Wilfried Grecksch
FRACTIONAL S(P)DES: THEORY, NUMERICS, AND OPTIMAL CONTROLAuthor(s): Wilfried Grecksch, Hannelore Lisei\nFormat: Hardback\nPublisher: World Scientific Publishing Co Pte Ltd, Singapore\nImprint: World Scientific Publishing Co Pte Ltd\nISBN-13: 9789819802098, 978-9819802098\nSynopsis\nRecent breakthroughs in volatility modelling have brought fractional stochastic calculus to a groundbreaking position. Readers of Fractional S(P)DEs will find a unique and comprehensive overview encompassing the theory and the numerics of both ordinary and partial differential equations (SDEs and SPDEs, respectively), driven by fractional Brownian [url] this book, both differential equations are considered with fractional noise, while also considering fractional derivatives in the case of SPDEs. Three primary aspects are pursued: Theory and numerics for rough SPDEs; Optimal control of both SDEs and SPDEs driven by fractional Brownian motions (and their applications); And numerics for time-fractional SPDEs .
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