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...
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Milano
Springer Milan
2012, 2012
|
| Edition: | 1st ed. 2012 |
| Series: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
|
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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