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

• Κύριος συγγραφέας: Tudor, Ciprian (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Σειρά: Probability and Its Applications,
• Θέματα: Mathematics.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Statistics, general.

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 analy...

Πίνακας περιεχομένων:

• 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.