Téléchargez le livre : Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

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Éditeur :

Springer


Collection :

Lecture Notes in Statistics

Paru le : 2014-10-15

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Description

This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered.
It will be of interest to probability specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.
Concerning the proofs of the limit theorems, the “Fourth Moment Theorem” is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence.
The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events and contaminant diffusion problems.
Pages
169 pages
Collection
Lecture Notes in Statistics
Parution
2014-10-15
Marque
Springer
EAN papier
9783319078748
EAN EPUB
9783319078755
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
16
Taille du fichier
2898 Ko
Prix
89,66 €

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