000 | 03167nam a22004815i 4500 | ||
---|---|---|---|
001 | 978-88-470-2823-4 | ||
003 | DE-He213 | ||
005 | 20140220083336.0 | ||
007 | cr nn 008mamaa | ||
008 | 130125s2012 it | s |||| 0|eng d | ||
020 |
_a9788847028234 _9978-88-470-2823-4 |
||
024 | 7 |
_a10.1007/978-88-470-2823-4 _2doi |
|
050 | 4 | _aQA273.A1-274.9 | |
050 | 4 | _aQA274-274.9 | |
072 | 7 |
_aPBT _2bicssc |
|
072 | 7 |
_aPBWL _2bicssc |
|
072 | 7 |
_aMAT029000 _2bisacsh |
|
082 | 0 | 4 |
_a519.2 _223 |
100 | 1 |
_aNourdin, Ivan. _eauthor. |
|
245 | 1 | 0 |
_aSelected Aspects of Fractional Brownian Motion _h[electronic resource] / _cby Ivan Nourdin. |
264 | 1 |
_aMilano : _bSpringer Milan : _bImprint: Springer, _c2012. |
|
300 |
_aX, 122 p. _bonline resource. |
||
336 |
_atext _btxt _2rdacontent |
||
337 |
_acomputer _bc _2rdamedia |
||
338 |
_aonline resource _bcr _2rdacarrier |
||
347 |
_atext file _bPDF _2rda |
||
490 | 1 |
_aB&SS — Bocconi & Springer Series, _x2039-1471 |
|
505 | 0 | _a1. Preliminaries -- 2. Fractional Brownian motion -- 3. Integration with respect to fractional Brownian motion -- 4. Supremum of the fractional Brownian motion -- 5. Malliavin calculus in a nutshell -- 6. Central limit theorem on the Wiener space -- 7. Weak convergence of partial sums of stationary sequences -- 8. Non-commutative fractional Brownian motion. | |
520 | _aFractional 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 involving stationary sequences, 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. | ||
650 | 0 | _aMathematics. | |
650 | 0 | _aFinance. | |
650 | 0 | _aDistribution (Probability theory). | |
650 | 1 | 4 | _aMathematics. |
650 | 2 | 4 | _aProbability Theory and Stochastic Processes. |
650 | 2 | 4 | _aQuantitative Finance. |
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9788847028227 |
830 | 0 |
_aB&SS — Bocconi & Springer Series, _x2039-1471 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-88-470-2823-4 |
912 | _aZDB-2-SMA | ||
999 |
_c104205 _d104205 |