Overview
- Except for very few exception, every result stated in this book is proved in details: the book is then perfectly tailored for self-learning
- My guiding thread was to develop only the most aesthetic topics related to fractional Brownian motion: the book will appeal to readers who are not necessarily familiar with fractional Brownian motion and who like beautiful mathematics
- A special chapter on a recent link between fractional Brownian motion and free probability introduces the reader to a new and promising line of research
- Includes supplementary material: sn.pub/extras
- Includes supplementary material: sn.pub/extras
Part of the book series: Bocconi & Springer Series (BS)
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Table of contents (8 chapters)
Keywords
About this book
Reviews
From the reviews:
“This short monograph by Ivan Nourdin deals with several aspects of fractional Brownian motion (fBm) ranging from basic properties over integration theory to non-commutative fractional Brownian motion. … The text is well written and almost all results are given with complete proofs. It is certainly a valuable contribution to the literature on fBm and will be a helpful source for everybody interested in new developments on fBm and its relation to other fields.” (Hilmar Mai, zbMATH, Vol. 1274, 2013)
Authors and Affiliations
About the author
Ivan Nourdin is full professor in Mathematics at Université de Lorraine (France). His research interests include Malliavin calculus, Stein's method and free probability.
Bibliographic Information
Book Title: Selected Aspects of Fractional Brownian Motion
Authors: Ivan Nourdin
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-88-470-2823-4
Publisher: Springer Milano
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Italia 2012
Hardcover ISBN: 978-88-470-2822-7Published: 17 October 2012
Softcover ISBN: 978-88-470-5849-1Published: 23 August 2016
eBook ISBN: 978-88-470-2823-4Published: 17 January 2013
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XII, 124
Topics: Probability Theory and Stochastic Processes, Quantitative Finance