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AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
Journal article

AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES

  • EMBRECHTS, PAUL Department of Mathematics, ETH, CH-8092 Zürich, Switzerland
  • MAEJIMA, MAKOTO Department of Mathematics, Keio University, Hiyoshi, Yokohama 223-8522, Japan
  • 2012-1-25
Published in:
  • International Journal of Modern Physics B. - World Scientific Pub Co Pte Lt. - 2000, vol. 14, no. 12n13, p. 1399-1420
English Self-similar processes such as fractional Brownian motion are stochastic processes that are invariant in distribution under suitable scaling of time and space. These processes can typically be used to model random phenomena with long-range dependence. Naturally, these processes are closely related to the notion of renormalization in statistical and high energy physics. They are also increasingly important in many other fields of application, as there are economics and finance. This paper starts with some basic aspects on self-similar processes and discusses several topics from the point of view of probability theory.
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  • English
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closed
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https://sonar.ch/global/documents/295540
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