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SUMMARY:Limit theorems\, financial applications and entropy of fractional 
 Brownian motion: solved and unsolved problems - Yuliya Mishura (Taras Shev
 chenko National University of Kyiv)
DTSTART:20220328T130000Z
DTEND:20220328T140000Z
UID:TALK170054@talks.cam.ac.uk
DESCRIPTION:We consider several problems related to fractional Brownian mo
 tion: 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 natu
 re 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.
LOCATION:Seminar Room 2\, Newton Institute
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