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＜電子ブック＞
Analysis of Variations for Self-similar Processes : A Stochastic Calculus Approach / by Ciprian Tudor
(Probability and Its Applications)

版	1st ed. 2013.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2013
本文言語	英語
大きさ	XI, 268 p : online resource
著者標目	*Tudor, Ciprian author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Statistics  FREE:Probability Theory FREE:Statistics
一般注記	Preface -- Introduction -- Part I Examples of Self-Similar Processes -- 1.Fractional Brownian Motion and Related Processes -- 2.Solutions to the Linear Stochastic Heat and Wave Equation -- 3.Non Gaussian Self-Similar Processes -- 4.Multiparameter Gaussian Processes -- Part II Variations of Self-Similar Process: Central and Non-Central Limit Theorems -- 5.First and Second Order Quadratic Variations. Wavelet-Type Variations -- 6.Hermite Variations for Self-Similar Processes -- Appendices: A.Self-Similar Processes with Stationary Increments: Basic Properties -- B.Kolmogorov Continuity Theorem -- C.Multiple Wiener Integrals and Malliavin Derivatives -- References -- Index 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 interrrelationship. 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 HTTP:URL=https://doi.org/10.1007/978-3-319-00936-0

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