Non-Gaussian Selfsimilar Stochastic Processes
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 m...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cham :
Springer Nature Switzerland : Imprint: Springer,
2023.
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| Ausgabe: | 1st ed. 2023. |
| Schriftenreihe: | SpringerBriefs in Probability and Mathematical Statistics,
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| Online-Zugang: | https://doi.org/10.1007/978-3-031-33772-7 |
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Inhaltsangabe:
- 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.