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Non-Gaussian Selfsimilar Stochastic Processes
Paperback
Series: Springerbriefs in Probability and Mathematical Statistics
ISBN13: 9783031337710
Publisher: Springer Nature
Published: Jul 5 2023
Pages: 101
Weight: 0.38
Height: 0.24 Width: 6.14 Depth: 9.21
Language: English
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.
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