Le mouvement Brownien fractionnaire : simulation et estimation du paramètre de Hurst.

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dc.contributor.authorLounis, Amel
dc.date.accessioned2026-01-13T09:24:12Z
dc.date.available2026-01-13T09:24:12Z
dc.date.issued2025
dc.description.abstractThis thesis focuses on the fractional Brownian motion (fBM), a stochastic process used to model long-memory phenomena using the Hurst parameter (H). It explores the mathematical properties of fBM, introduces methods to simulate its paths and estimate the H parameter, with applications in finance, hydrology, and biology.
dc.identifier.urihttps://dspace.ummto.dz/handle/ummto/29524
dc.language.isoen
dc.publisherummto.faculté des sciences
dc.subjectParamètre de Hurst
dc.subjectProcessus gaussien
dc.subjectMéthode de Cholesky
dc.subjectMéthode de Wood et Chan
dc.subjectMéthode de Mandelbrot
dc.subjectModélisation stochastique Applications en finance
dc.subjecthydrologie
dc.titleLe mouvement Brownien fractionnaire : simulation et estimation du paramètre de Hurst.
dc.typeThesis

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