Selected Aspects of Fractional Brownian Motion

Häftad, Engelska, 2016

AvIvan Nourdin

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Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory.

Produktinformation

Utgivningsdatum2016-08-23
Mått155 x 235 x 8 mm
Vikt219 g
FormatHäftad
SpråkEngelska
SerieBocconi & Springer Series
Antal sidor124
FörlagSpringer Verlag
ISBN9788847058491

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From the reviews:“This short monograph by Ivan Nourdin deals with several aspects of fractional Brownian motion (fBm) ranging from basic properties over integration theory to non-commutative fractional Brownian motion. … The text is well written and almost all results are given with complete proofs. It is certainly a valuable contribution to the literature on fBm and will be a helpful source for everybody interested in new developments on fBm and its relation to other fields.” (Hilmar Mai, zbMATH, Vol. 1274, 2013)