Thursday, March 31, 2011 - 3:05pm
1 hour (actually 50 minutes)
Semimartingales constitute the larges class of "good integrators" for which Ito integral could reasonably be defined and the stochastic analysis machinery applied. In this talk we identify semimartingales within certain infinitely divisible processes. Examples include stationary (but not independent) increment processes, such as fractional and moving average processes, as well as their mixtures. Such processes are non-Markovian, often possess long range memory, and are of interest as stochastic integrators. The talk is based on a joint work with Andreas Basse-O'Connor.