Fecha: 3 Julio de 2015
Lugar: Seminario 2 del Instituto de Matemáticas de la UGR (IEMath-GR)
Hora: 10:00 – 11:00
Organizador/Responsable en IEMath-GR: Programa de Doctorado en “Estadística Matemática y Aplicada” (Colaborador del proyecto MTM2012-32674)
Título: Fractional Skellam processes
Impartida por: Profesor N.N. Leonenko (Cardiff University, U.K.)
Abstract: Recent literature on high frequency financial data includes models that use the difference of two Poisson processes, and incorporates a Skellam distribution for forward prices. The exponential distribution of inter-arrival times in these models is not always supported by data. Fractional generalization of Poisson process, or fractional Poisson process, overcomes this limitation and has Mittag-Leer distribution of inter-arrival times. We introduce and study a fractional Skellam processes as the differences of two fractional Poisson processes.
Reference: Kerss, A.D.J., Leonenko, N.N. and and Sikorskii, A. (2014) Fractional Skellam processes with applications to finance. Fractional Calculus and Applied Analysis 17(2), 532-551
Transparencias de la charla (formato pdf)
ACTIVIDAD 2
Fecha: 3 Julio de 2015
Lugar: Seminario 2 del Instituto de Matemáticas de la UGR (IEMath-GR)
Hora: 11:00 – 12:00
Organizador/Responsable en IEMath-GR: Programa de Doctorado en “Estadística Matemática y Aplicada” (Colaborador del proyecto MTM2012-32674)
Título: Whittaker-Kotel'nikov-Shannon approximation of sub-Gaussian random processes
Impartida por: Profesor A. Olenko (School of Engineering and Mathematical Sciences in Melbourne, Australia)
Abstract: We generalize some classical results and obtain new truncation error upper bounds in the sampling theorem for bandlimited stochastic processes. $L_p([0,T])$ and uniform approximations of sub-Gaussian random processes by finite time sampling sums are investigated. Explicit truncation error upper bounds are established. Some specifications of the general results for which the assumptions can be easily verified are given. Direct analytical and probability methods are employed to obtain the results. The presentation is based on joint results with Prof. Yu.Kozachenko.
Transparencias de la charla (formato pdf)
