Approximations of fractional stochastic differential equations

Samy Tindel

Description

Approximations of fractional stochastic differential equations Samy Tindel University of Nancy Probability Seminar - Kansas 2009 Samy T. (Nancy) Approximations of fractional SDEs Kansas - 2009 1 / 28

• stochastic dynamics


• biophysics


• nanoscale biophysics


• subdiffusion within proteins


• path analysis


• sdes kansas


• iid fractional


• financial time series

Sujets

• Biophysics
• Path analysis

Informations

• Publié par: pefav
• Nombre de lectures: 45
• Langue: English

Extrait

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Samy Tindel

Probability Seminar - Kansas 2009

University of Nancy

Approximations of fractional stochastic differential equations

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2

3

Approximation of the Levy area

4

8

Sketch

Some notions of rough path analysis

Approximation schemes

1

Introduction