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What is Understanding Wienerian White Noise about?
Chapter 8 discusses stochastic calculus, focusing on Wienerian white noise and its properties. It establishes that a stationary white noise process Z(t) can be represented as a Wiener process W(t) and introduces the concept of stochastic integration, particularly with respect to Wiener integrals. The chapter emphasizes the challenges in defining integrals involving stochastic processes, especially when the integrator is a Wiener process due to its non-differentiable nature.
- Author
- vanstee
- Language
- EN