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Berzin, Corinne, Latour, Alain, León, José R. - Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Lecture Notes in Statistics) - 9783319078748 - V9783319078748
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Lecture Notes in Statistics)

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Description for Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Lecture Notes in Statistics) Paperback. Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion Series: Lecture Notes in Statistics. Num Pages: 197 pages, 9 black & white illustrations, 17 colour illustrations, biography. BIC Classification: PBT. Category: (P) Professional & Vocational. Dimension: 235 x 158 x 11. Weight in Grams: 318.

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. ... Read more

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 diffusio

n problems. Show Less

Product Details

Format
Paperback
Publication date
2014
Publisher
Springer
Condition
New
Series
Lecture Notes in Statistics
Number of Pages
169
Place of Publication
Cham, Switzerland
ISBN
9783319078748
SKU
V9783319078748
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

About Berzin, Corinne, Latour, Alain, León, José R.
Corinne Berzin received a degree of "Agrégation de mathématiques" from Lille University, Lille, France, in 1985. She got her Ph.D. degree in 1989 from Université Paris-Sud, Orsay, France, under the supervision of D. Dacunha-Castelle and M. Wschebor. From 1990 to 1999, she was Assistant Professor at Université de Versailles Saint-Quentin-en-Yvelines, France. Since 1999, as Professor of Mathematics, she affiliated to ... Read more

Reviews for Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Lecture Notes in Statistics)
“I can recommend it to statisticians, specialists in probability and, in general, any person interested in simulations and algorithms for fBm. The book mainly develops estimation techniques for the Hurst parameter H and the local variance or volatility of four models of stochastic differential equations (SDEs) driven by fractional noise.” (María J. Garrido-Atienza, Mathematical Reviews, August, 2015)

Goodreads reviews for Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Lecture Notes in Statistics)


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