Non-Gaussian selfsimilar stochastic processes / Ciprian Tudor.
Tudor, Ciprian, 1973- author.
2023
QA274.9
Available Online

Linked e-resources

Linked Resource Online Access
Concurrent users Unlimited
Authorized users Authorized users
Document Delivery Supplied Can lend chapters, not whole ebooks

Details

Title Non-Gaussian selfsimilar stochastic processes / Ciprian Tudor.
Author Tudor, Ciprian, 1973- author.
ISBN 9783031337727 (electronic bk.)
3031337727 (electronic bk.)
9783031337710
3031337719
DOI https://doi.org/10.1007/978-3-031-33772-7
Published Cham : Springer, [2023]
Copyright ©2023
Language English
Description 1 online resource (xii, 101 pages).
Item Number 10.1007/978-3-031-33772-7 doi
Call Number QA274.9
Dewey Decimal Classification 519.2/3
Summary This book offers an introduction to the field of stochastic analysis of Hermite processes. These selfsimilar stochastic processes with stationary increments live in a Wiener chaos and include the fractional Brownian motion, the only Gaussian process in this class. Using the Wiener chaos theory and multiple stochastic integrals, the book covers the main properties of Hermite processes and their multiparameter counterparts, the Hermite sheets. It delves into the probability distribution of these stochastic processes and their sample paths, while also presenting the basics of stochastic integration theory with respect to Hermite processes and sheets. The book goes beyond theory and provides a thorough analysis of physical models driven by Hermite noise, including the Hermite Ornstein-Uhlenbeck process and the solution to the stochastic heat equation driven by such a random perturbation. Moreover, it explores up-to-date topics central to current research in statistical inference for Hermite-driven models.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed July 13, 2023).
Series Springer briefs in probability and mathematical statistics. 2365-4341
Available in Other Form Non-Gaussian Selfsimilar Stochastic Processes
Linked Resources Online Access
Record Appears in Online Resources > Ebooks
All Resources
Introduction
Chapter 1. Multiple Stochastic Integrals
Chapter 2. Hermite processes: Definition and basic properties
Chapter 3. The Wiener integral with respect to the Hermite process and the Hermite Ornstein-Uhlenbeck process
Chapter 4. Hermite sheets and SPDEs
Chapter 5. Statistical inference for stochastic (partial) differential equations with Hermite noise
References.

Browse Subjects

Show more subjects...

Statistics

from
to
Export