Short course on Lévy Processes - Part 1

31.01.2019, 14:15-17:45  –  Räume und
Ringvorlesung Interdisziplinäre Mathematik

Ester Mariucci

14:15-15:45 in Room
16:15-17:45 in Room

Part 1: Why do we add jumps to the Brownian motion?

In the first part of the mini course we will focus on jump processes with independent and stationary increments, the so called Lévy processes. They form the prototype of stochastic processes in continuous time with a diffusion part plus jumps. We will see how the structure of their paths (Lévy-Itô decomposition) and the form of their characteristic functions (Lévy-Khintchine formula) are uniquely determined by three parameters: the drift (a real number), the diffusion coefficient (a positive real number) and the Lévy measure (a real Borel measure describing the behavior of the jumps).

The flyer with the short course description can be found here.

zu den Veranstaltungen