Selected Aspects of Fractional Brownian Motion

Fractional 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 pr...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Nourdin, Ivan (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Milano : Springer Milan : Imprint: Springer, 2012.
Edición:1st ed. 2012.
Colección:Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
Temas:
Probabilities.
Social sciences-Mathematics.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1. 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.

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