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 shastic 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.
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 shastic 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: A Stochastic Calculus Approach
268
Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach
268Paperback(Softcover reprint of the original 1st ed. 2013)
Product Details
ISBN-13: | 9783319033686 |
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Publisher: | Springer International Publishing |
Publication date: | 09/14/2013 |
Series: | Probability and Its Applications |
Edition description: | Softcover reprint of the original 1st ed. 2013 |
Pages: | 268 |
Product dimensions: | 6.10(w) x 9.25(h) x 0.02(d) |