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Inference On The Hurst Parameter And The Variance Of Diffusions Driven By Fractional Brownian Motion

by Corinne Berzin, Jose R. Leon e Alain Latour
language: english
Publisher: Springer International Publishing AG, October of 2014 ‧
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The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the “Fourth Moment Theorem” is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

Inference On The Hurst Parameter And The Variance Of Diffusions Driven By Fractional Brownian Motion

by Corinne Berzin, Jose R. Leon e Alain Latour

Property Description
ISBN: 9783319078748
Publisher: Springer International Publishing AG
Release Date: October of 2014
Language: English
Dimensions: 158 x 235 x 11 mm
Cover: Softcover
Pages: 169
Format: Book
Collection: Lecture Notes In Statistics
Categories: Books in English > Science > Mathematics
EAN: 9783319078748

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