- Series
- Stochastics Seminar
- Time
- Thursday, March 31, 2011 - 3:05pm for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Jan Rosinski – University of Tennessee, Knoxville
- Organizer
- Yuri Bakhtin
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.