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Cubierta del libro
Autor Peccati, Giovanni. author.

Título Wiener Chaos: Moments, Cumulants and Diagrams [electronic resource] : A survey with computer implementation / by Giovanni Peccati, Murad S. Taqqu.

Publicación Milano : Springer Milan, 2011.
Descripción física XIII, 274 p. online resource.
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
text file PDF rda
Colección Bocconi & Springer Series, 2039-1471 ; 1
Bocconi & Springer Series, 2039-1471 ; 1
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Springer eBooks. Mathematics and Statistics
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Resumen: 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.
Materia Mathematics.
Measure theory.
Economics, Mathematical.
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Probability Theory and Stochastic Processes.
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Quantitative Finance.
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Measure and Integration.
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Autor secundario Taqqu, Murad S., author.
SpringerLink (Online service)
En Springer eBooks
OTRO SOPORTE Printed edition: 9788847016781
ISBN 9788847016798 978-88-470-1679-8
ISBN/ISSN 10.1007/978-88-470-1679-8 doi