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

Add to your list(s) Download to your calendar using vCal

• Yuliya Mishura (Taras Shevchenko National University of Kyiv)
• Monday 28 March 2022, 14:00-15:00
• Seminar Room 2, Newton Institute.

If you have a question about this talk, please contact nobody.

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.

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 2, Newton Institute
• bld31

Note that ex-directory lists are not shown.