Generalized Fractional Brownian Motion

By Mounir Zili

This comprehensive book establishes the Zili generalized fractional Brownian motion (ZgfBm) as a powerful new foundation in the mathematical theory of stochastic processes.

Generalized Fractional Brownian Motion provides the first rigorous and systematic stochastic analysis of the ZgfBm, a versatile Gaussian process that uniquely extends both the classic fractional Brownian motion with stationary increments and the sub-fractional Brownian motion with nonstationary increments. Defined by three tunable parameters, the ZgfBm offers unprecedented flexibility for modeling complex phenomena across diverse fields, overcoming the limitations of single-parameter models.

The book carefully builds from foundational Gaussian theory and key fractional processes to advanced topics, including a complete methodology for parameter estimation, the development of a rigorous stochastic calculus with generalized It formulas and an investigation into the regularity of solutions to stochastic heat equations. This essential resource provides researchers, practitioners and graduate students with a unified and in-depth perspective on advanced fractional Gaussian processes.

• Format: Hardcover
• Language: English
• ISBN: 1786309637
• ISBN13: 9781786309631
• Release Date: March 2026
• Publisher: Wiley-Iste
• Length: 256 Pages
• Weight: 1.19 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"