Coverart for item
The Resource Selected aspects of fractional Brownian motion, Ivan Nourdin

Selected aspects of fractional Brownian motion, Ivan Nourdin

Label
Selected aspects of fractional Brownian motion
Title
Selected aspects of fractional Brownian motion
Statement of responsibility
Ivan Nourdin
Creator
Subject
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Nourdin, Ivan
Dewey number
519.2/33
Index
index present
Language note
English
LC call number
QA274.75
LC item number
.N68 2012
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
B & SS,
http://library.link/vocab/subjectName
  • Brownian motion processes
  • Fractional calculus
  • Mathematical Concepts
  • Mathematics
  • Probability
  • Stochastic Processes
  • MATHEMATICS
  • Brownian motion processes
  • Fractional calculus
Label
Selected aspects of fractional Brownian motion, Ivan Nourdin
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
  • Preliminaries
  • Fractional Brownian Motion
  • Integration with Respect to Fractional Brownian Motion
  • Supremum of the Fractional Brownian Motion
  • Malliavin Calculus in a Nutshell
  • Central Limit Theorem on the Wiener Space
  • Weak Convergence of Partial Sums of Stationary Sequences
  • Non-Commutative Fractional Brownian Motion
Control code
826637245
Dimensions
unknown
Extent
1 online resource (x, 122 pages).
File format
unknown
Form of item
online
Isbn
9781299198111
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-2823-4
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)826637245
Label
Selected aspects of fractional Brownian motion, Ivan Nourdin
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
  • Preliminaries
  • Fractional Brownian Motion
  • Integration with Respect to Fractional Brownian Motion
  • Supremum of the Fractional Brownian Motion
  • Malliavin Calculus in a Nutshell
  • Central Limit Theorem on the Wiener Space
  • Weak Convergence of Partial Sums of Stationary Sequences
  • Non-Commutative Fractional Brownian Motion
Control code
826637245
Dimensions
unknown
Extent
1 online resource (x, 122 pages).
File format
unknown
Form of item
online
Isbn
9781299198111
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-2823-4
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)826637245

Library Locations

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      38.944491 -92.326012
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