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商品詳細
Non-Gaussian Selfsimilar Stochastic Processes. 1st ed. 2023.
・ISBN 978-3-031-33771-0 paper EUR 49.99
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| 著者・編者 | Tudor, Ciprian, |
|---|---|
| シリーズ | SpringerBriefs in Probability and Mathematical Statistics |
| 出版社 | (Springer International Publishing AG, SZ) |
| 出版年月 | 2023 |
| ページ数 | 101 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-7026＞ |
解説
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.