Stable Non Gaussian Self Similar Processes With Stationary Increments
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Stable Non Gaussian Self Similar Processes With Stationary Increments
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Author : Vladas Pipiras
language : en
Publisher: Springer
Release Date : 2017-08-31
Stable Non Gaussian Self Similar Processes With Stationary Increments written by Vladas Pipiras and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-31 with Mathematics categories.
This book provides a self-contained presentation on the structure of a large class of stable processes, known as self-similar mixed moving averages. The authors present a way to describe and classify these processes by relating them to so-called deterministic flows. The first sections in the book review random variables, stochastic processes, and integrals, moving on to rigidity and flows, and finally ending with mixed moving averages and self-similarity. In-depth appendices are also included. This book is aimed at graduate students and researchers working in probability theory and statistics.
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.
Non Gaussian Selfsimilar Stochastic Processes
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Author : Ciprian Tudor
language : en
Publisher:
Release Date : 2023
Non Gaussian Selfsimilar Stochastic Processes written by Ciprian Tudor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with 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.
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.
Stable Non Gaussian Random Processes
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Author : Gennady Samoradnitsky
language : en
Publisher: Routledge
Release Date : 2017-11-22
Stable Non Gaussian Random Processes written by Gennady Samoradnitsky and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-22 with Mathematics categories.
This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
The Mathematics Of Financial Modeling And Investment Management
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Author : Sergio M. Focardi
language : en
Publisher: John Wiley & Sons
Release Date : 2004-04-12
The Mathematics Of Financial Modeling And Investment Management written by Sergio M. Focardi 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 2004-04-12 with Business & Economics categories.
the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
Advances In Planar Lipid Bilayers And Liposomes
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Author : A. Leitmannova Liu
language : en
Publisher: Academic Press
Release Date : 2011-08-09
Advances In Planar Lipid Bilayers And Liposomes written by A. Leitmannova Liu and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-09 with Science categories.
Advances in Planar Lipid Bilayers and Liposomes, Volume 7, continues to include invited chapters on a broad range of topics, covering both main arrangements of the reconstituted system, namely planar lipid bilayers and spherical liposomes. The invited authors present the latest results in this exciting multidisciplinary field of their own research group. Many of the contributors working in both fields over many decades were in close collaboration with the late Prof. H. Ti Tien, the founding editor of this book series. There are also chapters written by some of the younger generation of scientists included in this series. This volume keeps in mind the broader goal with both systems, planar lipid bilayers and spherical liposomes, which is the further development of this interdisciplinary field worldwide. * Contributions from newcomers and established and experienced researchers * Exploring theoretically and experimentally the planar lipid bilayer systems and spherical liposomes * Indispensable source of information for new scientists
Trends In Probability And Related Analysis Proceedings Of Sap 96
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Author : N Kono
language : en
Publisher: World Scientific
Release Date : 1997-10-31
Trends In Probability And Related Analysis Proceedings Of Sap 96 written by N Kono and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-10-31 with categories.
This proceedings volume reflects the current interest — especially of researchers in the Asia-Pacific region — in probability theory and related theory of analysis and statistics. It contains the papers of the two survey speakers, and of some other speakers and researchers. It brings out the theme of SAP, an international meeting on some aspects of probability, analysis and their interplay.
Simulation And Chaotic Behavior Of Alpha Stable Stochastic Processes
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Author : Aleksand Janicki
language : en
Publisher: CRC Press
Release Date : 2021-07-28
Simulation And Chaotic Behavior Of Alpha Stable Stochastic Processes written by Aleksand Janicki and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-28 with Mathematics categories.
Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.
Fractals Theory And Applications In Engineering
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Author : Michel Dekking
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Fractals Theory And Applications In Engineering written by Michel Dekking 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 Technology & Engineering categories.
Owing to the rapid emergence and growth of techniques in the engineering application of fractals, it has become necessary to gather the most recent advances on a regular basis. This book is a continuation of the first volume - published in 1997 - but contains interesting developments. A major point is that mathematics has become more and more involved in the definition and use of fractal models. It seems that the time of the qualitative observation of fractal phenomena has gone. Now the main models are strongly based upon theoretical arguments. Fractals: Theory and Applications in Engineering is a multidisciplinary book which should interest every scientist working in areas connected to fractals.