Analysis of variations for self-similar processes : a stochastic calculus approach (电子图书, 2013) [WorldCat.org]
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Analysis of variations for self-similar processes : a stochastic calculus approach

著者: Ciprian Tudor
出版商: Cham : Springer, 2013.
丛书: Probability and its applications (Springer-Verlag)
版本/格式:   电子图书 : 文献 : 英语查看所有的版本和格式
提要:
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,  再读一些...
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详细书目

类型/形式: Electronic books
附加的形体格式: Print version:
材料类型: 文献, 互联网资源
文档类型 互联网资源, 计算机文档
所有的著者/提供者: Ciprian Tudor
ISBN: 9783319009360 3319009362 9781299857636 1299857639 3319009354 9783319009353
OCLC号码: 857431888
描述: 1 online resource (xi, 268 pages) : illustrations
内容: 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.
丛书名: Probability and its applications (Springer-Verlag)
责任: Ciprian Tudor.

摘要:

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.  再读一些...

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"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 再读一些...

 
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