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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Limit theorems\, financial applications and entrop
y of fractional Brownian motion: solved and unsolv
ed problems - Yuliya Mishura (Taras Shevchenko Nat
ional University of Kyiv)
DTSTART;TZID=Europe/London:20220328T140000
DTEND;TZID=Europe/London:20220328T150000
UID:TALK170054AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/170054
DESCRIPTION:We consider several problems related to fractional
Brownian motion: functional limit theorems in whi
ch it acts as a limit\, applications of such theor
ems to financial mathematics\, and the behavior of
entropy. In all these problems\, interesting prop
erties of fBm of an algebraic nature arise\, some
of which have not yet been proved analytically\, a
lthough they are confirmed numerically. They say t
hat fBm has some deep properties\, the nature of w
hich we would like to guess.
LOCATION:Seminar Room 2\, Newton Institute
CONTACT:
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