skip to content
Analysis of variations for self-similar processes : a stochastic calculus approach Preview this item
ClosePreview this item
Checking...

Analysis of variations for self-similar processes : a stochastic calculus approach

Author: Ciprian Tudor
Publisher: Cham : Springer, 2013.
Series: Probability and its applications (Springer-Verlag)
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books,  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ciprian Tudor
ISBN: 9783319009360 3319009362
OCLC Number: 857431888
Description: 1 online resource (xi, 268 pages) : illustrations
Contents: Part I: Examples of Self-similar Processes. Fractional Brownian Motion and Related Processes --
Solutions to the Linear Stochastic Heat and Wave Equation --
Non-Gaussian Self-similar Processes --
Multiparameter Gaussian Processes --
Part II: Variations of Self-similar Processes: Central and Non-Central Limit Theorems. First and Second Order Quadratic Variations. Wavelet-Type Variations --
Hermite Variations for Self-similar Processes.
Series Title: Probability and its applications (Springer-Verlag)
Responsibility: Ciprian Tudor.

Abstract:

Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


<http://www.worldcat.org/oclc/857431888>
library:oclcnum"857431888"
library:placeOfPublication
owl:sameAs<info:oclcnum/857431888>
rdf:typeschema:Book
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:bookFormatschema:EBook
schema:creator
schema:datePublished"2013"
schema:description"Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus."
schema:exampleOfWork<http://worldcat.org/entity/work/id/1655016779>
schema:genre"Electronic books."
schema:inLanguage"en"
schema:name"Analysis of variations for self-similar processes : a stochastic calculus approach"
schema:url
schema:url<http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=626002>
schema:url<http://lib.myilibrary.com?id=517014>
schema:url
schema:workExample
schema:workExample

Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.