****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ******************************************************
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