| 期刊全称 | Analysis of Variations for Self-similar Processes | | 期刊简称 | A Stochastic Calculu | | 影响因子2023 | Ciprian Tudor | | 视频video | | | 发行地址 | Introduces new concepts.Surveys modern techniques and new results on limit theorems and stochastic calculus.Useful to probabilists and statisticians?.Includes supplementary material: | | 学科分类 | Probability and Its Applications | | 图书封面 |  | | 影响因子 | .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. . | | Pindex | Book 2013 |
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发表于 2025-3-21 18:45:41
