Censoring stable paths (and better living through Levy processes)

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• Alex Watson (University of Bath)
• Wednesday 23 May 2012, 16:00-17:30
• MR14, CMS.

If you have a question about this talk, please contact Marc Briant.

table processes are Levy processes whose paths possess a self-similarity property like that of Brownian motion. I will present some new identities for these processes, and focus in particular on the method of deriving them. This is quite modern, and uses two interesting techniques which I think everyone should see: the Lamperti transform, which converts between self-similarity and Levy-ness, and the Wiener-Hopf factorisation, which decomposes any Levy process into increasing and decreasing parts. I will explain these in detail, and probably get misty-eyed over how nice Levy processes are.

This is joint work with Andreas Kyprianou (Bath) and Juan Carlos Pardo (CIMAT).

This talk is part of the Cambridge Analysts' Knowledge Exchange series.

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