Holdings: Selfsimilar processes

Selfsimilar processes:

Saved in:

Bibliographic Details
Main Authors:	Embrechts, Paul 1953- (Author), Maejima, Makoto (Author)
Format:	Book
Language:	English
Published:	Princeton [u.a.] Princeton Univ. Press 2002
Series:	Princeton series in applied mathematics
Subjects:	Stochastischer Prozess - Selbstähnlichkeit Selbstähnlichkeit Stochastischer Prozess
Online Access:	Inhaltsverzeichnis
Physical Description:	X, 111 S. graph. Darst.
ISBN:	0691096279

Staff View

MARC


LEADER	00000nam a2200000 c 4500
001	BV014313755
003	DE-604
005	20110125
007	t
008	020527s2002 d\|\|\| \|\|\|\| 00\|\|\| eng d
020			\|a 0691096279 \|9 0-691-09627-9
035			\|a (OCoLC)248316027
035			\|a (DE-599)BVBBV014313755
040			\|a DE-604 \|b ger \|e rakwb
041	0		\|a eng
049			\|a DE-355 \|a DE-91G \|a DE-19 \|a DE-11 \|a DE-83
050		0	\|a QA274.9
082	0		\|a 519.24
084			\|a QH 237 \|0 (DE-625)141552: \|2 rvk
084			\|a SK 820 \|0 (DE-625)143258: \|2 rvk
084			\|a MAT 605f \|2 stub
084			\|a 60J65 \|2 msc
100	1		\|a Embrechts, Paul \|d 1953- \|e Verfasser \|0 (DE-588)115254447 \|4 aut
245	1	0	\|a Selfsimilar processes \|c Paul Embrechts and Makoto Maejima
264		1	\|a Princeton [u.a.] \|b Princeton Univ. Press \|c 2002
300			\|a X, 111 S. \|b graph. Darst.
336			\|b txt \|2 rdacontent
337			\|b n \|2 rdamedia
338			\|b nc \|2 rdacarrier
490	0		\|a Princeton series in applied mathematics
650		4	\|a Stochastischer Prozess - Selbstähnlichkeit
650	0	7	\|a Selbstähnlichkeit \|0 (DE-588)4286650-9 \|2 gnd \|9 rswk-swf
650	0	7	\|a Stochastischer Prozess \|0 (DE-588)4057630-9 \|2 gnd \|9 rswk-swf
689	0	0	\|a Stochastischer Prozess \|0 (DE-588)4057630-9 \|D s
689	0	1	\|a Selbstähnlichkeit \|0 (DE-588)4286650-9 \|D s
689	0		\|5 DE-604
700	1		\|a Maejima, Makoto \|e Verfasser \|4 aut
856	4	2	\|m HBZ Datenaustausch \|q application/pdf \|u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009819417&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA \|3 Inhaltsverzeichnis
999			\|a oai:aleph.bib-bvb.de:BVB01-009819417

Record in the Search Index

_version_	1804129211126906880
adam_text	Contents Preface ix Chapter 1. Introduction 1 1.1 Definition of Selfsimilarity 1 1.2 Brownian Motion 4 1.3 Fractional Brownian Motion 5 1.4 Stable Levy Processes 9 1.5 Lamperti Transformation 11 Chapter 2. Some Historical Background 13 2.1 Fundamental Limit Theorem 13 2.2 Fixed Points of Renormalization Groups 15 2.3 Limit Theorems (I) 16 Chapter 3. Selfsimilar Processes with Stationary Increments 19 3.1 Simple Properties 19 3.2 Long Range Dependence (I) 21 3.3 Selfsimilar Processes with Finite Variances 22 3.4 Limit Theorems (II) 24 3.5 Stable Processes 27 3.6 Selfsimilar Processes with Infinite Variance 29 3.7 Long Range Dependence (II) 34 3.8 Limit Theorems (III) 37 Chapter 4. Fractional Brownian Motion 43 4.1 Sample Path Properties 43 4.2 Fractional Brownian Motion for H ¥* 1/2 is not a Semimartingale 45 4.3 Stochastic Integrals with respect to Fractional Brownian Motion 47 4.4 Selected Topics on Fractional Brownian Motion 51 4.4.1 Distribution of the Maximum of Fractional Brownian Motion 51 4.4.2 Occupation Time of Fractional Brownian Motion 52 4.4.3 Multiple Points of Trajectories of Fractional Brownian Motion 53 4.4.4 Large Increments of Fractional Brownian Motion 54 VJjj CONTENTS Chapter 5. Selfsimilar Processes with Independent Increments 57 5.1 K. Sato s Theorem 57 5.2 Getoor s Example 60 5.3 Kawazu s Example 61 5.4 A Gaussian Selfsimilar Process with Independent Increments 62 Chapter 6. Sample Path Properties of Selfsimilar Stable Processes with Stationary Increments 63 6.1 Classification 63 6.2 Local Time and Nowhere Differentiability 64 Chapter 7. Simulation of Selfsimilar Processes 67 7.1 Some References 67 7.2 Simulation of Stochastic Processes 67 7.3 Simulating Levy Jump Processes 69 7.4 Simulating Fractional Brownian Motion 71 7.5 Simulating General Selfsimilar Processes 77 Chapter 8. Statistical Estimation 81 8.1 Heuristic Approaches 81 8.1.1 The R/S Statistic 82 8.1.2 The Correlogram 85 8.1.3 Least Squares Regression in the Spectral Domain 87 8.2 Maximum Likelihood Methods 87 8.3 Further Techniques 90 Chapter 9. Extensions 93 9.1 Operator Selfsimilar Processes 93 9.2 Semi Selfsimilar Processes 95 References 101 Index 109
any_adam_object	1
author	Embrechts, Paul 1953- Maejima, Makoto
author_GND	(DE-588)115254447
author_facet	Embrechts, Paul 1953- Maejima, Makoto
author_role	aut aut
author_sort	Embrechts, Paul 1953-
author_variant	p e pe m m mm
building	Verbundindex
bvnumber	BV014313755
callnumber-first	Q - Science
callnumber-label	QA274
callnumber-raw	QA274.9
callnumber-search	QA274.9
callnumber-sort	QA 3274.9
callnumber-subject	QA - Mathematics
classification_rvk	QH 237 SK 820
classification_tum	MAT 605f
ctrlnum	(OCoLC)248316027 (DE-599)BVBBV014313755
dewey-full	519.24
dewey-hundreds	500 - Natural sciences and mathematics
dewey-ones	519 - Probabilities and applied mathematics
dewey-raw	519.24
dewey-search	519.24
dewey-sort	3519.24
dewey-tens	510 - Mathematics
discipline	Mathematik Wirtschaftswissenschaften
format	Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01667nam a2200433 c 4500</leader><controlfield tag="001">BV014313755</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110125 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">020527s2002 d\|\|\| \|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0691096279</subfield><subfield code="9">0-691-09627-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)248316027</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV014313755</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-83</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">QA274.9</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.24</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 820</subfield><subfield code="0">(DE-625)143258:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 605f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60J65</subfield><subfield code="2">msc</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Embrechts, Paul</subfield><subfield code="d">1953-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)115254447</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Selfsimilar processes</subfield><subfield code="c">Paul Embrechts and Makoto Maejima</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton [u.a.]</subfield><subfield code="b">Princeton Univ. Press</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">X, 111 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Princeton series in applied mathematics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stochastischer Prozess - Selbstähnlichkeit</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Selbstähnlichkeit</subfield><subfield code="0">(DE-588)4286650-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Selbstähnlichkeit</subfield><subfield code="0">(DE-588)4286650-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Maejima, Makoto</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009819417&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009819417</subfield></datafield></record></collection>
id	DE-604.BV014313755
illustrated	Illustrated
indexdate	2024-07-09T19:01:32Z
institution	BVB
isbn	0691096279
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-009819417
oclc_num	248316027
open_access_boolean
owner	DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-19 DE-BY-UBM DE-11 DE-83
owner_facet	DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-19 DE-BY-UBM DE-11 DE-83
physical	X, 111 S. graph. Darst.
publishDate	2002
publishDateSearch	2002
publishDateSort	2002
publisher	Princeton Univ. Press
record_format	marc
series2	Princeton series in applied mathematics
spelling	Embrechts, Paul 1953- Verfasser (DE-588)115254447 aut Selfsimilar processes Paul Embrechts and Makoto Maejima Princeton [u.a.] Princeton Univ. Press 2002 X, 111 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Princeton series in applied mathematics Stochastischer Prozess - Selbstähnlichkeit Selbstähnlichkeit (DE-588)4286650-9 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s Selbstähnlichkeit (DE-588)4286650-9 s DE-604 Maejima, Makoto Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009819417&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Embrechts, Paul 1953- Maejima, Makoto Selfsimilar processes Stochastischer Prozess - Selbstähnlichkeit Selbstähnlichkeit (DE-588)4286650-9 gnd Stochastischer Prozess (DE-588)4057630-9 gnd
subject_GND	(DE-588)4286650-9 (DE-588)4057630-9
title	Selfsimilar processes
title_auth	Selfsimilar processes
title_exact_search	Selfsimilar processes
title_full	Selfsimilar processes Paul Embrechts and Makoto Maejima
title_fullStr	Selfsimilar processes Paul Embrechts and Makoto Maejima
title_full_unstemmed	Selfsimilar processes Paul Embrechts and Makoto Maejima
title_short	Selfsimilar processes
title_sort	selfsimilar processes
topic	Stochastischer Prozess - Selbstähnlichkeit Selbstähnlichkeit (DE-588)4286650-9 gnd Stochastischer Prozess (DE-588)4057630-9 gnd
topic_facet	Stochastischer Prozess - Selbstähnlichkeit Selbstähnlichkeit Stochastischer Prozess
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009819417&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT embrechtspaul selfsimilarprocesses AT maejimamakoto selfsimilarprocesses

Holdings

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Indexes

MARC

Record in the Search Index

There is no print copy available.

Similar Items