Dipartimento di Matematica e Applicazioni "Renato Caccioppoli"
# Yuliya Mishura: Stochastic calculus for fractional processes: stochastic integration, stochastic differential equations (1/2)

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Aula E, Dipartimento di Matematica e Applicazioni "Renato Caccioppoli"
#### Aula E, Dipartimento di Matematica e Applicazioni "Renato Caccioppoli"

MS Angelo

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**Prof.ssa Yuliya Mishura**

Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv

**Stochastic calculus for fractional processes: stochastic integration, stochastic differential equations**

Abstract: (Part I) We consider elements of fractional calculus, definition, properties and representations of fractional Brownian motion (fBm), stochastic integration with respect to fBm, stochastic differential equations with fBm. Special attention will be paid to particular equations: fractional Langevin equations, fractional Cox-Ross-Ingersoll equation. Advanced topics of fractional processes: fractional irregularity, representation results, statistical applications

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