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Appell Integral transform as a tool to prove martingale properties via fractional derivative

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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.

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