Apr 2017-Mar 2018

Math-Fi seminar on 6 Apr.

2017.04.05 Wed up
  • Date: 6 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tomonori Nakatsu (Ritsumeikan univ.)
  • Title: Some properties of density function on maxima of one-dimensional diffusion processes.
  • Abstract: In the talk, we shall consider a solution to one-dimensional stochastic differential equations and study on the density functions concerning maxima of the solution.
In particular, we will show,
(i) lower and upper bounds of the density function of the discrete time maximum of the solution,
(ii) a convergence of the density function of the discrete time maximum,
(iii) a relationship between the density functions of the continuous time maximum of the solution and the solution itself.

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