Non-Gaussian Selfsimilar Stochastic Processes
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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.
The book goes beyond theory and provides a thorough analysis of physical models driven by Hermite noise, including the Hermite Ornstein-Uhlenbeck process and the solution to the stochastic heat equation driven by such a random perturbation. Moreover, it explores up-to-date topics central to current research in statistical inference for Hermite-driven models.рд▓реЗрдЦрдХрд╛рд╡рд┐рд╖рдпреА
Ciprian Tudor is Full Professor at the University of Lille, France. He graduated from the University of Bucharest and earned his PhD degree in probability from Universit├й de La Rochelle in 2002. Following his doctorate, he held positions at the Universit├й Pierre et Marie Curie (Paris 6) and at the Universit├й de Panth├йon-Sorbonne (Paris 1), where he obtained his Habilitation in 2006. With a research focus on stochastic processes, particularly Malliavin calculus, self-similar processes, and their applications to statistics, he has authored three monographs and more than 150 scientific publications in well-regarded journals.
