Analysis of Variations for Self-similar Processes

A Stochastic Calculus Approach

Authors:

ISBN: 978-3-319-00935-3 (Print) 978-3-319-00936-0 (Online)

Table of contents (6 chapters)

  1. Front Matter

    Pages I-XI

  2. Examples of Self-similar Processes

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-25

      Fractional Brownian Motion and Related Processes

    3. No Access

      Book Chapter

      Pages 27-75

      Solutions to the Linear Stochastic Heat and Wave Equation

    4. No Access

      Book Chapter

      Pages 77-101

      Non-Gaussian Self-similar Processes

    5. No Access

      Book Chapter

      Pages 103-117

      Multiparameter Gaussian Processes

  3. Variations of Self-similar Processes: Central and Non-Central Limit Theorems

    1. Front Matter

      Pages 119-119

    2. No Access

      Book Chapter

      Pages 121-204

      First and Second Order Quadratic Variations. Wavelet-Type Variations

    3. No Access

      Book Chapter

      Pages 205-249

      Hermite Variations for Self-similar Processes

  4. Back Matter

    Pages 251-268