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Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2018/12/04
15:00-17:00 Room #126 (Graduate School of Math. Sci. Bldg.)
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 1: Elements of fractional calculus
How to connect the fractional Brownian motion to the Wiener process. Stochastic integration w.r.t. fBm and stochastic differential equations involving fB
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 1: Elements of fractional calculus
How to connect the fractional Brownian motion to the Wiener process. Stochastic integration w.r.t. fBm and stochastic differential equations involving fB
[ Abstract ]
Fractional integrals and fractional derivatives. Wiener and stochastic integration w.r.t. the fractional Brownian motion. Representations of fBm via a Wiener process and vice versa. Elements of the fractional stochastic calculus. Stochastic differential equations involving fBm: existence, uniqueness, properties of the solutions. Simplest models: fractional Ornstein-Uhlenbeck and fractional Cox-Ingersoll-Ross processes.
Fractional integrals and fractional derivatives. Wiener and stochastic integration w.r.t. the fractional Brownian motion. Representations of fBm via a Wiener process and vice versa. Elements of the fractional stochastic calculus. Stochastic differential equations involving fBm: existence, uniqueness, properties of the solutions. Simplest models: fractional Ornstein-Uhlenbeck and fractional Cox-Ingersoll-Ross processes.
