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
Resource Information
The item Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (xi, 268 pages)
- 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.
- Isbn
- 9781299857636
- 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
- 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
- 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
- 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
- 9781299857636
- 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
- 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
- 9781299857636
- 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
Subject
- Calculus of variations
- MATHEMATICS -- Applied
- MATHEMATICS -- Probability & Statistics | General
- Self-similar processes
- Self-similar processes
- Self-similar processes
- Calculus of variations
- Calculus of variations
Member of
- Probability and its applications (Springer-Verlag)
- Probability and its applications (Springer-Verlag),
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Analysis-of-variations-for-self-similar-processes/P3nDyRLEclE/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Analysis-of-variations-for-self-similar-processes/P3nDyRLEclE/">Analysis of variations for self-similar processes : a stochastic calculus approach, Ciprian Tudor</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>