Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach by Ciprian Tudor
English | EUPB | 2013 | 271 Pages | ISBN : 3319009354 | 4.12 MB
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.
