University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Limit theorems, financial applications and entropy of fractional Brownian motion: solved and unsolved problems

Limit theorems, financial applications and entropy of fractional Brownian motion: solved and unsolved problems

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FDE2 - Fractional differential equations

We consider several problems related to fractional Brownian motion: functional limit theorems in which it acts as a limit, applications of such theorems to financial mathematics, and the behavior of entropy. In all these problems, interesting properties of fBm of an algebraic nature arise, some of which have not yet been proved analytically, although they are confirmed numerically. They say that fBm has some deep properties, the nature of which we would like to guess.

This talk is part of the Isaac Newton Institute Seminar Series series.

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