Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach - Brossura

Tudor, Ciprian

Brossura

ISBN 10: 3319009370 ISBN 13: 9783319009377

Casa editrice: Springer, 2013

Riassunto

Preface.- Introduction.- Part I Examples of Self-Similar Processes.- 1.Fractional Brownian Motion and Related Processes.- 2.Solutions to the Linear Stochastic Heat and Wave Equation.- 3.Non Gaussian Self-Similar Processes.- 4.Multiparameter Gaussian Processes.- Part II Variations of Self-Similar Process: Central and Non-Central Limit Theorems.- 5.First and Second Order Quadratic Variations. Wavelet-Type Variations.- 6.Hermite Variations for Self-Similar Processes.- Appendices: A.Self-Similar Processes with Stationary Increments: Basic Properties.- B.Kolmogorov Continuity Theorem.- C.Multiple Wiener Integrals and Malliavin Derivatives.- References.- Index.​

Dettagli dell?edizione

• Editore: Springer
• Data di pubblicazione: 2013
• Lingua: Inglese
• ISBN 10: 3319009370
• ISBN 13: 9783319009377
• Rilegatura: Copertina flessibile
• Numero di pagine: 282
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania