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Mathematics - Probability Theory and Stochastic Processes | Wiener Chaos: Moments, Cumulants and Diagrams - A survey with Computer Implementation (Reviews)

Wiener Chaos: Moments, Cumulants and Diagrams

A survey with Computer Implementation

Series: Bocconi & Springer Series, Vol. 1

Peccati, Giovanni, Taqqu, Murad

2011, XIII, 274 p.

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From the book reviews:

“The objective of this book is to provide a detailed account of the combinatorial structures arising from the study of multiple stochastic integrals. … the presentation is very clear, with all the necessary proofs and examples. The authors clearly accomplish the three goals they list in the introduction (to provide a unified approach to the diagram method using set partition, to give a combinatorial analysis of multiple stochastic integrals in the most general setting, and to discuss chaotic limit theorems).” (Sergey V. Lototsky, Mathematical Reviews, Issue 2012 d)

“The book provides a comprehensive and detailed introduction to the theory of multiple stochastic integrals and some results for the Wiener chaos representation of random variables. … The book is recommended for anyone who needs a precise guidance to the theory.” (Gábor Szűcs, Acta Scientiarum Mathematicarum (Szeged), Vol. 77 (3-4), 2011)

 

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