Selected Aspects of Fractional Brownian Motion

• Κύριος συγγραφέας: Nourdin, Ivan (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Milano : Springer Milan : Imprint: Springer, 2012.
• Σειρά: B&SS — Bocconi & Springer Series,
• Θέματα: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory pr...