Non-Gaussian Selfsimilar Stochastic Processes

This book offers an introduction to the field of shastic analysis of Hermite processes. These selfsimilar shastic 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 shastic 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 shas...