Introduction to Jump Processes (1/3)
- Date
- Apr 23, 2015
- Time
- 1:00 PM - 2:30 PM
- Speaker
- Dr. Paolo Di Tella
- Affiliation
- TU Dresden, Institut für Mathematische Stochastik
- Language
- en
- Main Topic
- Mathematik
- Other Topics
- Mathematik
- Host
- Prof. Dr. R. Schilling / Dipl.-Math. Julian Hollender
- Description
- Jump processes, in particular semimartingales, play a fundamental role in stochastic analysis. Aim of this lectures is to introduce graduate and PhD students into the topic. To make the understanding easier, we concentrate on Lévy processes (i.e. processes with homogeneous and independent increments), a special case of semimartingales. We consider the jump measure of a Lévy process and define the stochastic integral relatively to it. Then we establish the canonical representation for semimartingales which are Lévy processes, that is the Itô-Lévy decomposition.
- Links
Last modified: Apr 16, 2015, 4:08:59 PM
Location
TUD Willers-Bau (WIL A 124)Zellescher Weg12-1401069Dresden
- Homepage
- https://navigator.tu-dresden.de/etplan/wil/00
Organizer
TUD MathematikWillersbau, Zellescher Weg12-1401069Dresden
- Phone
- 49-351-463 33376
- Homepage
- http://tu-dresden.de/mathematik
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