Apr 2016 - Mar 2017

Math-Fi seminar on 24 Feb.

2017.02.21 Tue up
  • Date : 24 Feb. (Fri.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time : 16:30-18:00
  • Speaker: Atsushi Takeuchi (Osaka city university)
  • Title: Malliavin calculus for marked Hawkes processes
  • Abstract: Consider a marked Hawkes process $L$ with the conditional intensity process $\lambda$. The goal in this talk is to study the Malliavin calculus for the process $L$ and its conditional intensity $\lambda$, and to apply it to attack the problems on the sensitivity analysis for their conditional laws, and the asymptotic behavior on the law of the marked Hawkes process. 

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