Google full text of our books:


Selfsimilar Processes
Paul Embrechts & Makoto Maejima

Hardcover | 2002 | $69.00 | ($41.40) / £47.95 | (£28.77) | ISBN: 9780691096278
128 pp. | 6 x 9
Add to Shopping Cart

eBook | ISBN: 9781400825103 |
Our eBook editions are available from these online vendors

Endorsements | Table of Contents

Google full text of this book:

The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity translates into the equality in distribution between the process under a linear time change and the same process properly scaled in space, a simple scaling property that yields a remarkably rich theory with far-flung applications.

After a short historical overview, this book describes the current state of knowledge about selfsimilar processes and their applications. Concepts, definitions and basic properties are emphasized, giving the reader a road map of the realm of selfsimilarity that allows for further exploration. Such topics as noncentral limit theory, long-range dependence, and operator selfsimilarity are covered alongside statistical estimation, simulation, sample path properties, and stochastic differential equations driven by selfsimilar processes. Numerous references point the reader to current applications.

Though the text uses the mathematical language of the theory of stochastic processes, researchers and end-users from such diverse fields as mathematics, physics, biology, telecommunications, finance, econometrics, and environmental science will find it an ideal entry point for studying the already extensive theory and applications of selfsimilarity.


"Authoritative and written by leading experts, this book is a significant contribution to a growing field. Selfsimilar processes crop up in a wide range of subjects from finance to physics, so this book will have a correspondingly wide readership."--Chris Rogers, Bath University

"This is a timely book. Everybody is talking about scaling, and selfsimilar stochastic processes are the basic and the clearest examples of models with scaling. In applications from finance to communication networks, selfsimilar processes are believed to be important. Yet much of what is known about them is folklore; this book fills the void and gives reader access to some hard facts. And because this book requires only modest mathematical sophistication, it is accessible to a wide audience."--Gennady Samorodnitsky, Cornell University

Table of Contents

Another Princeton book authored or coauthored by Paul Embrechts:


Subject Areas:


Shopping Cart:

  • For ebooks:

Our eBook editions are available
from these online vendors:

  • Amazon Kindle Store
  • Apple iBooks
  • Barnes & Noble Nook Store
  • Google Play eBook Store
  • Intel Education Study eBook Store
  • Kobo eBook Store
  • Many of our ebooks are available through
    library electronic resources including these platforms:

  • Books at JSTOR
  • Ebrary
  • Ebook Library
  • EBSCO Ebooks
  • MyiLibrary
  • Dawsonera (UK)

  • For hardcover/paperback orders in United States, Canada, Latin America, Asia, and Australia

     Hardcover $69.00 | ($41.40) ISBN: 9780691096278

    Add to shopping cart
    View contents of your shopping cart

    For hardcover/paperback orders in Europe, Africa, the Middle East, India, and Pakistan

     Hardcover £47.95 | (£28.77) ISBN: 9780691096278

    Add to shopping cart
    View contents of your shopping cart

    Prices subject to change without notice

    File created: 11/20/2015

    Questions and comments to:
    Princeton University Press

    fall saleHoliday Sale
    New Book E-mails
    New In Print
    PUP Blog
    Princeton APPS
    Sample Chapters
    Princeton Legacy Library
    Exam/Desk Copy
    Recent Awards
    Princeton Shorts
    Freshman Reading
    PUP Europe
    About Us
    Contact Us
    PUP Home

    Bookmark and Share
    Send me emails
    about new books in:
    More Choices