2013年度
Math-Fi seminar on 30 May
2013.05.24 Fri up
- Date: 30 May ( Thu )
- Place: W.W. 7th-floor, 4th lab.
- Time : 16:30 – 18:00
- Speaker: Jie Yen Fan
- Title: Mimicking selfsimilar processes (part II) and the (non-)Markov property of Brownian Hermite martingales
- Abstract: This can be considered as a continuation from the talk that I gave two months ago, where we have seen a way to mimic (in the sense of matching one-dimensional marginal distributions) selfsimilar Markov martingales. In this talk, we will see how we can (and cannot) extend this mimicking scheme to a more general class of processes. In particular, we will extend it to some non-Markov processes, including the Brownian Hermite martingales H_n(B_t,t). The non-Markov property of H_n(B_t,t) for n>2 will also be discussed
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