Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach - Couverture souple

Tudor, Ciprian A.

9783319033686: Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach

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ISBN 10 : 3319033689 ISBN 13 : 9783319033686

Editeur : Springer, 2015

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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 interrelationship. 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.

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� propos de l?auteur

Ciprian Tudor is Full Professor at the University of Lille 1, France. He graduated from the University of Bucharest, Romania in 1998 and he obtained his PH.D. degree on Probability Theory from Universit� de La Rochelle, France in 2002. After the doctorate he worked at the Universit� Pierre et Marie Curie Paris 6, France and at the Universit� de Panth�on-Sorbonne Paris 1 where he obtained the Habilitation in 2006. He has published intensively on stochastic processes, especially Malliavin calculus, self-similar processes and their applications. Up to 2012 he has over 80 scientific publications in various international recognized journals on probability theory and statistics.

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteurSpringer
Date d'�dition2015
ISBN 10 3319033689
ISBN 13 9783319033686
ReliureBroch�
Langueanglais
Nombre de pages284
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9783319009353: Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach

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Analysis of Variations for Self-similar Processes

Ciprian Tudor

Edit� par Springer International Publishing Aug 2015, 2015

ISBN 10 : 3319033689 ISBN 13 : 9783319033686

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 interrelationship. 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. 284 pp. Englisch. N� de r�f. du vendeur 9783319033686

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Analysis of Variations for Self-similar Processes

Ciprian Tudor

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Analysis of Variations for Self-similar Processes : A Stochastic Calculus Approach

Ciprian Tudor

Edit� par Springer International Publishing, Springer International Publishing, 2015

ISBN 10 : 3319033689 ISBN 13 : 9783319033686

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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 interrelationship. 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. N� de r�f. du vendeur 9783319033686

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Analysis of Variations for Self-similar Processes

Ciprian Tudor

Edit� par Springer International Publishing, Springer Nature Switzerland Aug 2015, 2015

ISBN 10 : 3319033689 ISBN 13 : 9783319033686

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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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 interrelationship. 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 284 pp. Englisch. N� de r�f. du vendeur 9783319033686

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