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

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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  • A self-contained and probability-oriented introduction to the theory of lattice of partitions, with a unique software implementation that makes our book an ideal introduction to the field
  • A complete and self-contained combinatorial analysis of cumulants and diagram formulae, unique in its genre
  • An introduction to Wiener chaos, and a new combinatorial interpretation of recently proved limit theorems
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applications ranging from Malliavin calculus to stochastic differential equations and from probabilistic approximations to mathematical finance. This book is concerned with combinatorial structures arising from the study of chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables. Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.

Content Level » Graduate

Keywords » Diagram formulae - Lattices of partitions - Limit theorems - Moments and cumulants - Wiener chaos

Related subjects » Analysis - Probability Theory and Stochastic Processes - Quantitative Finance

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