Selected Aspects of Fractional Brownian Motion

Nonfiction, Science & Nature, Mathematics, Applied, Statistics
Cover of the book Selected Aspects of Fractional Brownian Motion by Ivan Nourdin, Springer Milan
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Ivan Nourdin ISBN: 9788847028234
Publisher: Springer Milan Publication: January 17, 2013
Imprint: Springer Language: English
Author: Ivan Nourdin
ISBN: 9788847028234
Publisher: Springer Milan
Publication: January 17, 2013
Imprint: Springer
Language: English

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.

More books from Springer Milan

Cover of the book Atlas of Xenopus Development by Ivan Nourdin
Cover of the book Surgery in the Multimodal Management of Gastric Cancer by Ivan Nourdin
Cover of the book Systems Thinking by Ivan Nourdin
Cover of the book Practical Issues in Anesthesia and Intensive Care by Ivan Nourdin
Cover of the book Algebra for Symbolic Computation by Ivan Nourdin
Cover of the book Methods in Asthmology by Ivan Nourdin
Cover of the book CT of the Retroperitoneum by Ivan Nourdin
Cover of the book Pancreatic Cystic Neoplasms by Ivan Nourdin
Cover of the book Endoscopic Follow-up of Digestive Anastomosis by Ivan Nourdin
Cover of the book The Tricuspid Valve in Congenital Heart Disease by Ivan Nourdin
Cover of the book Functional MRI by Ivan Nourdin
Cover of the book Mathematical and Statistical Methods for Actuarial Sciences and Finance by Ivan Nourdin
Cover of the book Atlas of Muscle Innervation Zones by Ivan Nourdin
Cover of the book Leading processes to lead companies: Lean Six Sigma by Ivan Nourdin
Cover of the book Perinatal Neuroradiology by Ivan Nourdin
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy