Presentation Name: Fractional Brownian Motion and Applications
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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