統計数学セミナー

過去の記録 ~03/28次回の予定今後の予定 03/29~

担当者 吉田朋広、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.

2009年12月21日(月)

15:00-16:10   数理科学研究科棟(駒場) 128号室
Thomas Simon 氏 (Universite de Lille 1)
Absolute continuity of Ornstein-Uhlenbeck processes
[ 講演概要 ]
Let X be a multidimensional Ornstein-Uhlenbeck process, solution to the S.D.E.

dX = AX + dB

where A is a real nxn matrix and B a Lévy process. We show that when A is non-singular, the law of X_1 is absolutely continuous if and only if the jumping measure of B fulfils a certain geometric condition with respect to A and the Gaussian part of B, which we call the exhaustion property. This optimal criterion is much weaker than for B, which might be very singular and genuinely one-dimensional. The proof uses a certain time derivation procedure and basic arguments from controllability theory.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/13.html