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

Add 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 differential 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
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• Seminar Room 1, Newton Institute
• bld31

Note that ex-directory lists are not shown.