FD2W01 | Prof. Stefano Bonaccorsi | A class of fractional Ornstein-Uhlenbeck processes mixed скачать в хорошем качестве

FD2W01 | Prof. Stefano Bonaccorsi | A class of fractional Ornstein-Uhlenbeck processes mixed

FD2W01 | Prof. Stefano Bonaccorsi | A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution Speaker: Professor Stefano Bonaccorsi (Università degli Studi di Trento) Date: 25th Feb 2022 - 12:00 to 12:30 Venue: INI Seminar Room 1 Title: A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution Event: (FD2W01) Deterministic and stochastic fractional differential equations and jump processes Abstract: We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of independent Gamma random variables. We construct a new process by taking the empirical mean of this sequence. In our framework, the processes involved are not Markovian, hence the analysis of their asymptotic behaviour requires some ad hoc construction. In our main result, we prove the almost sure convergence in the space of trajectories of the empirical means to a given Gaussian process, which we characterize completely. Based on a joint work with Luigi Amedeo Bianchi and Luciano Tubaro. ------------------- FOLLOW US 🌐| Website: https://www.newton.ac.uk 🎥| Main Channel:    / @isaacnewtoninstitute   🐦| Twitter:   / newtoninstitute   💬| Facebook:   / newton.institute   📷| Instagram:   / isaacnewtoninstitute   🔗| LinkedIn:   / isaac-newton-institute-for-mathematical-sc...   SEMINAR ROOMS 🥇| INI Seminar Room 1:    / @iniseminarroom1   🥈| INI Seminar Room 2:    / @iniseminarroom2   🛰️| INI Satellite Events:    / @inisatellite   ABOUT The Isaac Newton Institute is a national and international visitor research institute. It runs research programmes on selected themes in mathematics and the mathematical sciences with applications over a wide range of science and technology. It attracts leading mathematical scientists from the UK and overseas to interact in research over an extended period. 👉 Learn more about us and our events here: https://www.newton.ac.uk