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統計数学セミナー
過去の記録 ～09/10｜次回の予定｜今後の予定 09/11～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2018年12月04日(火)
15:00-17:00 数理科学研究科棟(駒場) 126号室
Yuliia Mishura 氏 (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 氏 (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
[ 講演概要 ]
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.
