Statistics Seminars 2019
Mercoledì 6 febbraio ore 14.30
Aula seminari - Dipartimento di Scienze Statistiche, I piano
“The Clark-Ocone formula and the Poincare' inequality for point processes”
Dr. Giovanni Luca Torrisi, CNR-Istituto per le Applicazioni del Calcolo “M. Picone” (Roma)
Abstract:
"Clark-Ocone formulas are powerful results in stochastic analysis with a variety of applications. In the talk we provide the Clark-Ocone formula for square-integrable functionals of point processes with stochastic intensity. Then we present two applications of the formula: the Poincare' inequality and a concentration bound for those functionals. Our results generalize the corresponding ones on the Poisson space. The talk is based on joint works with Ian Flint and Nicolas Privault (NTU, Singapore)."
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Alberto Lanconelli Dipartimento di Scienze Statistiche "Paolo Fortunati" Alma Mater Studiorum - Università di Bologna