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 Fracture-Dislocations of the Wrist by Ivan Nourdin
Cover of the book Stamping Through Astronomy by Ivan Nourdin
Cover of the book Normal Ultrasound Anatomy of the Musculoskeletal System by Ivan Nourdin
Cover of the book Congenital Hip Disease in Adults by Ivan Nourdin
Cover of the book Peptides and Non Peptides of Oncologic and Neuroendocrine Relevance by Ivan Nourdin
Cover of the book Logic: a Brief Course by Ivan Nourdin
Cover of the book Advances in Cardiomyopathies by Ivan Nourdin
Cover of the book Solving Numerical PDEs: Problems, Applications, Exercises by Ivan Nourdin
Cover of the book We are the Martians by Ivan Nourdin
Cover of the book Cardiac Arrhythmias 2003 by Ivan Nourdin
Cover of the book Methods in Asthmology by Ivan Nourdin
Cover of the book Early Diagnosis in Neuro-oncology by Ivan Nourdin
Cover of the book Special Issues in Hypertension by Ivan Nourdin
Cover of the book Bone Marrow MRI by Ivan Nourdin
Cover of the book Early Indicators Early Treatments Neuroprotection in Multiple Sclerosis 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