Generalized Fractional Brownian Motion
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- ISBN 9781786309631
- Publication Date: 20 Feb 2026
- Publisher: ISTE Ltd and John Wiley & Sons Inc
- Publication City/Country: GB
- Product Form: Hardback
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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 Itô 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.
Mounir Zili is Full Professor of Mathematics and a key member of the "Analysis, Probability and Fractals" laboratory at the University of Monastir, Tunisia. He holds a PhD in Mathematics from Sorbonne University in Paris, France.
