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Seminar on Probability and Statistics
Seminar information archive ～05/01｜Next seminar｜Future seminars 05/02～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2017/11/02
14:00-15:10 Room #052 (Graduate School of Math. Sci. Bldg.)
Tudor Ciprian (Université Lille 1)
Hermite processes and sheets
Tudor Ciprian (Université Lille 1)
Hermite processes and sheets
[ Abstract ]
The Hermite process of order $\geq 1$ is a self-similar stochastic process with stationary increments living in the $q$th Wiener chaos. The class of Hermite processes includes the fractional Brownian motion (for $q=1$) and the Rosenblatt process (for $q=2$). We present the basic properties of these processes and we introduce their multiparameter version. We also discuss the behavior with respect to the self-similarity index and the possibility so solve stochastic equations with Hermite noise.
The Hermite process of order $\geq 1$ is a self-similar stochastic process with stationary increments living in the $q$th Wiener chaos. The class of Hermite processes includes the fractional Brownian motion (for $q=1$) and the Rosenblatt process (for $q=2$). We present the basic properties of these processes and we introduce their multiparameter version. We also discuss the behavior with respect to the self-similarity index and the possibility so solve stochastic equations with Hermite noise.
