Analysis of variations for self-similar processes : a stochastic calculus approach
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...
Salvato in:
| Autore principale: | |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Cham :
Springer International Publishing
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2013. |
| Serie: | Probability and Its Applications
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| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Analysis of Variations for Self-similar Processes, Texte imprimé, 9783319033686 • Analysis of Variations for Self-similar Processes, Texte imprimé, 9783319009377 • Analysis of variations for self-similar processes, a stochastic calculus approach, Ciprian A. Tudor, Cham, Springer, 2013, 1 vol. (XI-268 p.), Probability and its applications, 978-3-319-00935-3 |
| Riassunto: | 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 |
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| Descrizione del documento: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783319009360 |
| Accesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |