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Selected aspects of fractional Brownian motion

Author: Ivan Nourdin
Publisher: Milano : Springer : Bocconi University Press, ©2012.
Series: Bocconi & Springer series, 4.
Edition/Format:   Print book : EnglishView all editions and formats
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This book explores several aspects of fractional Brownian motion, including the stochastic integration, the study of its supremum and its appearance as limit of partial sums involving stationary  Read more...

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Document Type: Book
All Authors / Contributors: Ivan Nourdin
ISBN: 9788847028227 8847028221
OCLC Number: 854681536
Description: x, 122 pages ; 25 cm.
Contents: 1. Preliminaries.- 2. Fractional Brownian motion.- 3. Integration with respect to fractional Brownian motion.- 4. Supremum of the fractional Brownian motion.- 5. Malliavin calculus in a nutshell.- 6. Central limit theorem on the Wiener space.- 7. Weak convergence of partial sums of stationary sequences.- 8. Non-commutative fractional Brownian motion.
Series Title: Bocconi & Springer series, 4.
Responsibility: Ivan Nourdin.

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From the reviews:"This short monograph by Ivan Nourdin deals with several aspects of fractional Brownian motion (fBm) ranging from basic properties over integration theory to non-commutative Read more...

 
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