Events
Stochastics Analysis Seminar |
| Time: Aug 27, 2014 (02:00 PM) |
| Location:
Speaker: Olav Kallenberg Topic: Tangential existence and comparison Abstract: By a fundamental theorem of Jacod, a semimartingale X has independent increments iff its local characteristics are a.s. nonrandom. This seems to suggest that we may reduce the study of X to the independence case by a simple conditioning. Though this doesn't work in general, we can always construct an approximating tangential process with conditionallly independent increments. In this talk, I shall try to explain and elaborate on these ideas. |
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Details: Speaker: Olav Kallenberg Topic: Tangential existence and comparison Abstract: By a fundamental theorem of Jacod, a semimartingale X has independent increments iff its local characteristics are a.s. nonrandom. This seems to suggest that we may reduce the study of X to the independence case by a simple conditioning. Though this doesn't work in general, we can always construct an approximating tangential process with conditionallly independent increments. In this talk, I shall try to explain and elaborate on these ideas. |