STOCHASTIC ANALYSIS

Meets Wednesdays, 2 PM in Parker 236 (PLEASE NOTE NEW ROOM)

 

Regular speakers and their current areas of interest:


Olav Kallenberg: stochastic analysis and dynamical systems, with applications to statistical mechanics and biological evolution

Ming Liao: stochastic processes in Lie groups

Erkan Nane: fractional diffusions and iterated processes

Jurek Szulga


2014 - 2015

August 27

Speaker: Olav Kallenberg

Topic: Tangential existence and comparison

Abstract: By a fundamental theorem of Jacod, a semimartingale X has independent increments iff its local characteristics are a.s. nonrandom. This seems to suggest that we may reduce the study of X to the independence case by a simple conditioning. Though this doesn't work in general, we can always construct an approximating tangential process with conditionallly independent increments. In this talk, I shall try to explain and elaborate on these ideas.

 

Last updated: 08/28/2014