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University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Appell Integral transform as a tool to prove martingale properties via fractional derivative

## Appell Integral transform as a tool to prove martingale properties via fractional derivativeAdd to your list(s) Download to your calendar using vCal - Elena Boguslavskaya (Brunel University)
- Tuesday 22 February 2022, 11:30-12:00
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact nobody. FD2W01 - Deterministic and stochastic fractional diļ¬erential equations and jump processes Appell Integral transform is a mix of Fourier ( or Laplace) transform and Escher transform from probability theory. Similar to Escher transform, the Appell Integral transform preserves the martingale property if applied to a martingale. In such a way the Appell integral transform appears to be a powerful tool for proving martingale properties of processes for which it seems it is difficult to prove martingale properties otherwise. We use fractional derivative to illustrate the above. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
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