Selected aspects of fractional Brownian motion
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...
Gardado en:
| Autor Principal: | |
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| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Milano :
Springer Milan
2012.
Cham : Springer Nature |
| Series: | B&SS Bocconi & Springer Series
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| Acceso en liña: | 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: | • Selected aspects of fractional brownian motion, Ivan Nourdin, Milano, Springer, Bocconi University Press, 2012, 1 vol. (X-122 p.), Bocconi & &Springer series, 978-88-470-2822-7 |
Table des matières:
- 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