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Stochastic calculus with respect to the mixed fractional Brownian motion and application in the parametric estimation

Le : 19/03/2018 11h00
Par : Chunhao Cai (ENSAI Rennes)
Lieu : i103
Lien web :
Résumé : In this talk, we will introduce the Ito-skorohod integral and path-wise integral with respect to the mixed fractional Brownian motion (mfbm for short) and their properties. For the application, we will explain how the mfbm used in the insurance model and the drift estimation of the Ornstein-Uhlenbeck process generated by mfBm.