Non-Gaussian Selfsimilar Stochastic Processes / / by Ciprian Tudor
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| Autore: |
Tudor Ciprian
|
| Titolo: |
Non-Gaussian Selfsimilar Stochastic Processes / / by Ciprian Tudor
|
| Pubblicazione: | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2023 |
| Edizione: | 1st ed. 2023. |
| Descrizione fisica: | 1 online resource (110 pages) |
| Disciplina: | 519.2 |
| Soggetto topico: | Probabilities |
| Probability Theory | |
| Applied Probability | |
| Processos gaussians | |
| Integrals estocàstiques | |
| Soggetto genere / forma: | Llibres electrònics |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Non-Gaussian Selfsimilar Stochastic Processes |
| ISBN: | 3-031-33772-7 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910734836003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
SpringerBriefs in Probability and Mathematical Statistics, . 2365-4341