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SEMINARI DI PROBABILITA' E STATISTICA
DIPARTIMENTO DI MATEMATICA G. PEANO
UNIVERSITA' DEGLI STUDI DI TORINO
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Lunedì 10 Febbraio alle ore 15 in Aula S presso il Dipartimento di
Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo
Alberto 10,
il Dott. ROBERT KNOBLOCH (Department of Mathematics -- Saarland University)
terrà un seminario dal titolo
"An Itō type formula and related properties for convoluted Lévy processes"
Abstract:
In this talk we derive moment and path properties as well as an Itō type
formula for a large class of convoluted Lévy processes M(t) that in
particular contains fractional Lévy processes. To this end we make use
of the S-transform, which is defined as the expectation under a suitable
change of measure and results in Hitsuda-Skorokhod integrals appearing
in our main results. For the general version of our Itō type formula we
assume that the underlying Lévy process has a nontrivial Gaussian
component and use this assumption to prove that the characteristic
function of M(t), under the aforementioned changed measure, has nice
integrability properties. This enables us to weaken the conditions in
the Itō type formula compared to related results in the literature.
Tutti gli interessati sono invitati a partecipare.
Federico Polito
--
Department of Mathematics
University of Torino
Via Carlo Alberto, 10
10123, Torino, Italy