Coverart for item
The Resource Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor

Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor

Label
Analysis of variations for self-similar processes : a stochastic calculus approach
Title
Analysis of variations for self-similar processes
Title remainder
a stochastic calculus approach
Statement of responsibility
Ciprian Tudor
Creator
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1973-
http://library.link/vocab/creatorName
Tudor, Ciprian
Dewey number
519.2/3
Illustrations
illustrations
Index
index present
LC call number
QA274.9
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Probability and Its Applications,
http://library.link/vocab/subjectName
  • Self-similar processes
  • Calculus of variations
  • MATHEMATICS
  • MATHEMATICS
  • Calculus of variations
  • Self-similar processes
Label
Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • First and Second Order Quadratic Variations. Wavelet-Type Variations
  • Hermite Variations for Self-similar Processes
  • Part I:
  • Examples of Self-similar Processes.
  • Fractional Brownian Motion and Related Processes
  • Solutions to the Linear Stochastic Heat and Wave Equation
  • Non-Gaussian Self-similar Processes
  • Multiparameter Gaussian Processes
  • Part II:
  • Variations of Self-similar Processes: Central and Non-Central Limit Theorems.
Control code
857431888
Dimensions
unknown
Extent
1 online resource (xi, 268 pages)
File format
unknown
Form of item
online
Isbn
9783319009360
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-00936-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
517014
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)857431888
Label
Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • First and Second Order Quadratic Variations. Wavelet-Type Variations
  • Hermite Variations for Self-similar Processes
  • Part I:
  • Examples of Self-similar Processes.
  • Fractional Brownian Motion and Related Processes
  • Solutions to the Linear Stochastic Heat and Wave Equation
  • Non-Gaussian Self-similar Processes
  • Multiparameter Gaussian Processes
  • Part II:
  • Variations of Self-similar Processes: Central and Non-Central Limit Theorems.
Control code
857431888
Dimensions
unknown
Extent
1 online resource (xi, 268 pages)
File format
unknown
Form of item
online
Isbn
9783319009360
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-00936-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
517014
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)857431888

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      38.944491 -92.326012
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