Selected Aspects of Fractional Brownian Motion PDF ePub eBook

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Selected Aspects of Fractional Brownian Motion free pdf 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 involvingstationerysequences, 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.

About Ivan Nourdin

Ivan Nourdin is full professor in Mathematics at Universite de Lorraine (France). His research interests include Malliavin calculus, Stein's method and free probability.

Details Book

Author : Ivan Nourdin
Publisher : Springer Verlag
Data Published : 17 October 2012
ISBN : 8847028221
EAN : 9788847028227
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 122 pages
Age + : 15 years
Language : English
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