Selected aspects of fractional Brownian motion / Ivan Nourdin.

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory pr...

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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Nourdin, Ivan
Format:	eBook
Language:	English
Published:	Milan ; New York : [Place of publication not identified] : Springer ; Bocconi University Press, ©2012.
Series:	Bocconi & Springer series.
Subjects:	Brownian motion processes. Fractional calculus.