Analysis Of Variations For Self Similar Processes
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Analysis Of Variations For Self Similar Processes
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Author : Ciprian Tudor
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-13
Analysis Of Variations For Self Similar Processes written by Ciprian Tudor and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-13 with Mathematics categories.
Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus.
Analysis Of Variations For Self Similar Processes
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Author : Ciprian A. Tudor
language : en
Publisher: Springer
Release Date : 2013-08-08
Analysis Of Variations For Self Similar Processes written by Ciprian A. Tudor and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-08 with Mathematics categories.
Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus.
Long Range Dependence And Self Similarity
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Author : Vladas Pipiras
language : en
Publisher: Cambridge University Press
Release Date : 2017-04-18
Long Range Dependence And Self Similarity written by Vladas Pipiras and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-18 with Business & Economics categories.
A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Self Similar Processes In Telecommunications
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Author : Oleg Sheluhin
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-13
Self Similar Processes In Telecommunications written by Oleg Sheluhin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-13 with Technology & Engineering categories.
For the first time the problems of voice services self-similarity are discussed systematically and in detail with specific examples and illustrations. Self-Similar Processes in Telecommunications considers the self-similar (fractal and multifractal) models of telecommunication traffic and efficiency based on the assumption that its traffic has fractal or multifractal properties (is self-similar). The theoretical aspects of the most well-known traffic models demonstrating self-similar properties are discussed in detail and the comparative analysis of the different models’ efficiency for self-similar traffic is presented. This book demonstrates how to use self-similar processes for designing new telecommunications systems and optimizing existing networks so as to achieve maximum efficiency and serviceability. The approach is rooted in theory, describing the algorithms (the logical arithmetical or computational procedures that define how a task is performed) for modeling these self-similar processes. However, the language and ideas are essentially accessible for those who have a general knowledge of the subject area and the advice is highly practical: all models, problems and solutions are illustrated throughout using numerous real-world examples. Adopts a detailed, theoretical, yet broad-based and practical mathematical approach for designing and operating numerous types of telecommunications systems and networks so as to achieve maximum efficiency Places the subject in context, describing the current algorithms that make up the fractal or self-similar processes while pointing to the future development of the technology Offers a comparative analysis of the different types of self-similar process usage within the context of local area networks, wide area networks and in the modeling of video traffic and mobile communications networks Describes how mathematical models are used as a basis for building numerous types of network, including voice, audio, data, video, multimedia services and IP (Internet Protocol) telephony The book will appeal to the wide range of specialists dealing with the design and exploitation of telecommunication systems. It will be useful for the post-graduate students, lecturers and researchers connected with communication networks disciplines.
Non Gaussian Selfsimilar Stochastic Processes
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Author : Ciprian Tudor
language : en
Publisher: Springer Nature
Release Date : 2023-07-04
Non Gaussian Selfsimilar Stochastic Processes written by Ciprian Tudor and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-04 with Mathematics categories.
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.
Stochastic Analysis And Related Topics
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Author : Fabrice Baudoin
language : en
Publisher: Birkhäuser
Release Date : 2017-10-04
Stochastic Analysis And Related Topics written by Fabrice Baudoin and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-04 with Mathematics categories.
The articles in this collection are a sampling of some of the research presented during the conference “Stochastic Analysis and Related Topics”, held in May of 2015 at Purdue University in honor of the 60th birthday of Rodrigo Bañuelos. A wide variety of topics in probability theory is covered in these proceedings, including heat kernel estimates, Malliavin calculus, rough paths differential equations, Lévy processes, Brownian motion on manifolds, and spin glasses, among other topics.
Selfsimilar Processes
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Author : Paul Embrechts
language : en
Publisher: Princeton University Press
Release Date : 2009-01-10
Selfsimilar Processes written by Paul Embrechts and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-10 with Mathematics categories.
The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity translates into the equality in distribution between the process under a linear time change and the same process properly scaled in space, a simple scaling property that yields a remarkably rich theory with far-flung applications. After a short historical overview, this book describes the current state of knowledge about selfsimilar processes and their applications. Concepts, definitions and basic properties are emphasized, giving the reader a road map of the realm of selfsimilarity that allows for further exploration. Such topics as noncentral limit theory, long-range dependence, and operator selfsimilarity are covered alongside statistical estimation, simulation, sample path properties, and stochastic differential equations driven by selfsimilar processes. Numerous references point the reader to current applications. Though the text uses the mathematical language of the theory of stochastic processes, researchers and end-users from such diverse fields as mathematics, physics, biology, telecommunications, finance, econometrics, and environmental science will find it an ideal entry point for studying the already extensive theory and applications of selfsimilarity.
The Fundamental Role Of Teletraffic In The Evolution Of Telecommunications Networks
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Author : J. Labetoulle
language : en
Publisher: Elsevier
Release Date : 2013-10-22
The Fundamental Role Of Teletraffic In The Evolution Of Telecommunications Networks written by J. Labetoulle and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-22 with Computers categories.
The International Teletraffic Congress (ITC) is a recognized international organization taking part in the work of the International Telecommunications Union. The congress traditionally deals with the development of teletraffic theory and its applications to the design, planning and operation of telecommunication systems, networks and services. The contents of ITC 14 illustrate the important role of teletraffic in the current period of rapid evolution of telecommunication networks. A large number of papers address the teletraffic issues behind developments in broadband communications and ATM technology. The extension of possiblities for user mobility and personal communications together with the generalization of common channnel signalling and the provision of new intelligent network services are further extremely significant developments whose teletraffic implications are explored in a number of contributions. ITC 14 also addresses traditional teletraffic subjects, proposing enhancements to traffic engineering practices for existing circuit and packet switched telecommunications networks and making valuable original contributions to the fundamental mathematical tools on which teletraffic theory is based. The contents of these Proceedings accurately reflect the extremely wide scope of the ITC, extending from basic mathematical theory to day-to-day traffic engineering practices, and constitute the state of the art in 1994 of one of the fundamental telecommunications sciences.
Wavelets And Their Applications
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Author : J.S. Byrnes
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Wavelets And Their Applications written by J.S. Byrnes and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
It is probably true quite generally that in the history of human thinking the most fruitful developments frequently take place at those points where two different lines of thought meet. Hence, if they actually meet, that is, if they are at least so much related to each other that a real interaction can take place, then one may hope that new and interesting developments may follow. Werner Heisenberg This volume contains papers presented at the August 1992 NATO Advanced Study Institute on Wavelets and Their Applications. The conference was held at the beautiful Il Ciocco resort near Lucca, in the glorious Tuscany region of northern Italy. Once again we gathered at this idyllic spot to explore and extend the reciprocity between mathematics and engineering. The dynamic interaction between world-renowned scientists from the usu ally disparate communities of pure mathematicians and applied scientists, which occurred at our 1989 and 1991 ASI's, continued at this meeting. Wavelet theory and technology is in an important growth stage at which theoretical and practical results are being compared with existing methods. There have been spectacular wavelet successes and sobering comparisons with traditional ideas-but still there is a wide expanse of scientific problems to explore. Since these problems lie at the forefront of both pure mathematics and applied science, our NATO ASI was especially pertinent at this time.
Fractional Order Signal Processing
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Author : Saptarshi Das
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-15
Fractional Order Signal Processing written by Saptarshi Das and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-15 with Technology & Engineering categories.
The book tries to briefly introduce the diverse literatures in the field of fractional order signal processing which is becoming an emerging topic among an interdisciplinary community of researchers. This book is aimed at postgraduate and beginning level research scholars who would like to work in the field of Fractional Order Signal processing (FOSP). The readers should have preliminary knowledge about basic signal processing techniques. Prerequisite knowledge of fractional calculus is not essential and is exposited at relevant places in connection to the appropriate signal processing topics. Basic signal processing techniques like filtering, estimation, system identification, etc. in the light of fractional order calculus are presented along with relevant application areas. The readers can easily extend these concepts to varied disciplines like image or speech processing, pattern recognition, time series forecasting, financial data analysis and modeling, traffic modeling in communication channels, optics, biomedical signal processing, electrochemical applications and many more. Adequate references are provided in each category so that the researchers can delve deeper into each area and broaden their horizon of understanding. Available MATLAB tools to simulate FOSP theories are also introduced so that the readers can apply the theoretical concepts right-away and gain practical insight in the specific domain.