Stochastic Analysis Common-Guangqu Zheng (WPI)-Introduction to Exponential functionals of Levy processes

Mathematics - Lecture/Discussion

Monday, November 11, 2013

Stratton Hall
202

ABSTRACT: Following the presentation in last week, we first talk about the subordinator— increasing Levy process, and some facts on it. Then we switch to an brief introduction to "Exponential functional of drifted linear Brownian motions and subordinators," and calculate explicitly their distributions with the help of Mellin’s injectivity. In the end, several decompositions of the standard Exponential random variable would be given.

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: November 7, 2013 at 3:32 PM