Wiener Chaos: Moments, Cumulants and Diagrams / Bocconi & Springer Series Bd.1 (PDF)
A survey with Computer Implementation
(Sprache: Englisch)
The concept of Wiener chaos generalizes to an infinite-dimensional setting the
properties of orthogonal polynomials associated with probability distributions
on the real line. It plays a crucial role in modern probability theory, with...
properties of orthogonal polynomials associated with probability distributions
on the real line. It plays a crucial role in modern probability theory, with...
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The concept of Wiener chaos generalizes to an infinite-dimensional setting the
properties of orthogonal polynomials associated with probability distributions
on the real line. It plays a crucial role in modern probability theory, with applications
ranging from Malliavin calculus to stochastic differential equations and from
probabilistic approximations to mathematical finance.
This book is concerned with combinatorial structures arising from the study
of chaotic random variables related to infinitely divisible random measures.
The combinatorial structures involved are those of partitions of finite sets,
over which Möbius functions and related inversion formulae are defined.
This combinatorial standpoint (which is originally due to Rota and Wallstrom)
provides an ideal framework for diagrams, which are graphical devices used
to compute moments and cumulants of random variables.
Several applications are described, in particular, recent limit theorems for chaotic random variables.
An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
properties of orthogonal polynomials associated with probability distributions
on the real line. It plays a crucial role in modern probability theory, with applications
ranging from Malliavin calculus to stochastic differential equations and from
probabilistic approximations to mathematical finance.
This book is concerned with combinatorial structures arising from the study
of chaotic random variables related to infinitely divisible random measures.
The combinatorial structures involved are those of partitions of finite sets,
over which Möbius functions and related inversion formulae are defined.
This combinatorial standpoint (which is originally due to Rota and Wallstrom)
provides an ideal framework for diagrams, which are graphical devices used
to compute moments and cumulants of random variables.
Several applications are described, in particular, recent limit theorems for chaotic random variables.
An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
Autoren-Porträt von Giovanni Peccati, Murad S. Taqqu
Giovanni Peccati is a Professor of Stochastic Analysis and Mathematical Finance at Luxembourg University. Murad S. Taqqu is a Professor of Mathematics and Statistics at Boston University.
Bibliographische Angaben
- Autoren: Giovanni Peccati , Murad S. Taqqu
- 2011, 2011, 274 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 8847016797
- ISBN-13: 9788847016798
- Erscheinungsdatum: 06.04.2011
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 1.96 MB
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Englisch
Pressezitat
From the book reviews:“The objective of this book is to provide a detailed account of the combinatorial structures arising from the study of multiple stochastic integrals. … the presentation is very clear, with all the necessary proofs and examples. The authors clearly accomplish the three goals they list in the introduction (to provide a unified approach to the diagram method using set partition, to give a combinatorial analysis of multiple stochastic integrals in the most general setting, and to discuss chaotic limit theorems).” (Sergey V. Lototsky, Mathematical Reviews, Issue 2012 d)
“The book provides a comprehensive and detailed introduction to the theory of multiple stochastic integrals and some results for the Wiener chaos representation of random variables. … The book is recommended for anyone who needs a precise guidance to the theory.” (Gábor Szűcs, Acta Scientiarum Mathematicarum (Szeged), Vol. 77 (3-4), 2011)
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