Analysis of variations for selfsimilar processes : a stochastic calculus approach
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The work Analysis of variations for selfsimilar processes : a stochastic calculus approach represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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Analysis of variations for selfsimilar processes : a stochastic calculus approach
Resource Information
The work Analysis of variations for selfsimilar processes : a stochastic calculus approach represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 Analysis of variations for selfsimilar processes : a stochastic calculus approach
 Title remainder
 a stochastic calculus approach
 Statement of responsibility
 Ciprian Tudor
 Subject

 Mathematics
 Probability Theory and Stochastic Processes
 MATHEMATICS / Probability & Statistics / General
 Selfsimilar processes
 Statistics, general
 Calculus of variations
 MATHEMATICS / Applied
 Selfsimilar processes
 Selfsimilar processes
 Calculus of variations
 Electronic resources
 Calculus of variations
 Calculus of variations
 Selfsimilar processes
 Language
 eng
 Summary
 Selfsimilar 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 selfsimilar 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 selfsimilar 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 selfsimilar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus
 Cataloging source
 GW5XE
 Image bit depth
 0
 LC call number
 QA274.9
 Literary form
 non fiction
 Nature of contents
 dictionaries
 Series statement
 Probability and Its Applications,
Context
Context of Analysis of variations for selfsimilar processes : a stochastic calculus approachWork of
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