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Generalized Quadratic Variations of Gaussian Processes: Limit Theorems and Applications to Fractional Gaussian Processes - Couverture souple

Bégyn, Arnaud

 
9783639188004: Generalized Quadratic Variations of Gaussian Processes: Limit Theorems and Applications to Fractional Gaussian Processes
Couverture souple
ISBN 10 : 3639188004 ISBN 13 : 9783639188004
Editeur : VDM Verlag, 2009

Synopsis

This book is about "generalized quadratic variations of Gaussian processes". Generalized quadratic variations means that we consider mathematical objects wich are generalization of the classical quadratic variations used in semi-martingale theory. The Gaussian processes studied in this work are of fractional type, that is they resemble the fractional Brownian motion (FBM). In FBM theory, mathematicians consider second order quadratic variations which yield good estimation of the Hurst index of FBM. The aim of this work is to generalize this results to other fractional processes, without stationarity or harmonizable representation assumptions.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This book is about "generalized quadratic variations of Gaussian processes". Generalized quadratic variations means that we consider mathematical objects wich are generalization of the classical quadratic variations used in semi-martingale theory. The Gaussian processes studied in this work are of fractional type, that is they resemble the fractional Brownian motion (FBM). In FBM theory, mathematicians consider second order quadratic variations which yield good estimation of the Hurst index of FBM. The aim of this work is to generalize this results to other fractional processes, without stationarity or harmonizable representation assumptions.

Biographie de l'auteur

Doctor of Mathematics: Probability and Statistics. CPGE Teacher in Lycée Fermat (Toulouse - France). Email: arnaud.begyn@wanadoo.fr

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag
Date d'édition
2009
Langue
anglais
ISBN 10 
3639188004
ISBN 13 
9783639188004
Reliure
Broché
Nombre de pages
168
Coordonnées du fabricant
non disponible
Personne responsable
non disponible