Selected aspects of fractional Brownian motion. (Q455365)

This short monograph by Ivan Nourdin deals with several aspects of fractional Brownian motion (fBm) ranging from basic properties over integration theory to non-commutative fractional Brownian motion. Rather than developing a detailed theory of fractional Brownian motion the emphasis is on some recent advances that were developed by the author and others. The book starts with some basic material on the topic. Then an integration theory for fBm based on Young integrals is introduced. In the following chapters various current research fields are discussed ranging from the behavior of the supremum of a fBm at infinity and at zero over central limit theorems for functionals of fBm via Malliavin Calculus and Stein's method to a short introduction to free probability and non-commutative fBm. The text is well written and almost all results are given with complete proofs. It is certainly a valuable contribution to the literature on fBm and will be a helpful source for everybody interested in new developments on fBm and its relation to other fields.