Analysis of variations for self-similar processes : a stochastic calculus approach (eBook, 2013) [WorldCat.org]
skip to content
Analysis of variations for self-similar processes : a stochastic calculus approach Preview this item
ClosePreview this item
Checking...

Analysis of variations for self-similar processes : a stochastic calculus approach

Author: Ciprian Tudor
Publisher: Cham : Springer, 2013.
Series: Probability and its applications (Springer-Verlag)
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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,  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ciprian Tudor
ISBN: 9783319009360 3319009362 9781299857636 1299857639 3319009354 9783319009353
OCLC Number: 857431888
Description: 1 online resource (xi, 268 pages) : illustrations
Contents: Part I: Examples of Self-similar Processes. Fractional Brownian Motion and Related Processes --
Solutions to the Linear Stochastic Heat and Wave Equation --
Non-Gaussian Self-similar Processes --
Multiparameter Gaussian Processes --
Part II: Variations of Self-similar Processes: Central and Non-Central Limit Theorems. First and Second Order Quadratic Variations. Wavelet-Type Variations --
Hermite Variations for Self-similar Processes.
Series Title: Probability and its applications (Springer-Verlag)
Responsibility: Ciprian Tudor.

Abstract:

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.  Read more...

Reviews

Editorial reviews

Publisher Synopsis

"The author provides the general theory for different classes of self-similar processes with a complete treatment of limit theorems for their variations. ... The book is self-contained and suitable Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.