"An introduction to ambit stochastics"

Lunedì 13 aprile 2015 ore 15.00
Aula Seminari – Dipartimento di Matematica
"AN INTRODUCTION TO AMBIT STOCHASTICS "
Benedykt
Szozda
(Department of Mathematics
Aarhus University)
In this talk we will give a brief, non-technical
introduction to ambit stochastics. It is an area on the
intersection of probability theory and statistics with
applications to finance (energy markets), physics
(turbulence) and biology (tumor growth).
While ambit fields allow for high modelling flexibility,
they are analytically tractable and yield themselves to
numerical simulation.
The features that distinguish ambit fields from other
modelling frameworks are the explicit modelling of
(often highly irregular and violently changing)
volatility/intermittency and the ambit sets that model
which parts of space-time influence the modelled
phenomena. Special emphasis will be put on stochastic
integration in the setting of ambit processes.
Referente: Andrea Pugliese
STAFF DIPARTIMENTO DI MATEMATICA
Università degli Studi Trento
Via Sommarive, 14- 38123 Povo (TN)
Tel +39 0461/281508-1625-1701 Fax+ 39 0461/281624
[email protected]

Download Report