A Stochastic Calculus Approach
Series: Probability and Its Applications
Tudor, Ciprian A.
2013, XI, 268 p. 1 illus.
Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.
You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.
After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.
(net)
price for USA
ISBN 978-3-319-00936-0
digitally watermarked, no DRM
Included Format: PDF and EPUB
download immediately after purchase
Hardcover version
You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.
Standard shipping is free of charge for individual customers.
(net)
price for USA
ISBN 978-3-319-00935-3
free shipping for individuals worldwide
usually dispatched within 3 to 5 business days
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.
Content Level » Research
Keywords » 60F05, 60H05, 60G18 - Malliavin calculus - limit theorems - self-similar stochastic processes - stochastic equations - variations of stochastic processes
Related subjects » Probability Theory and Stochastic Processes - Statistics
Get alerted on new Springer publications in the subject area of Probability Theory and Stochastic Processes.