Presentation Name: | Fractional Brownian Motion and Applications |
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Presenter: | Professor Tyrone E. Duncan |
Date: | 2008-11-20 |
Location: | 光华东主楼1704室 |
Abstract: | An introduction to fractional Brownian motion and some of its applications is given. This introduction commences with some of the history and important properties of fractional Brownian motion. Some properties of a stochastic calculus for some fractional Brownian motions are described. Some stochastic differential equations in a finite dimensional space are given. Some results for linear and semilinear stochastic equations in a Hilbert space are introduced and some examples are provided. An absolute continuity of measures for fractional Brownian motion is presented. Some other applications of fractional Brownian motion are also described. |
Annual Speech Directory: | No.107 |
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