Wednesday, June 21, 2023 - 14:15 in V3-201 + Zoom
Functional Ito-Calculus and Predictable Representation for Measure-valued Diffusions
A talk in the Bielefeld Stochastic Afternoon series by
Ludger Overbeck
| Abstract: |
In this talk, we extend the functional Ito-calculus which gives the semimartingale
decomposition of functions on paths of stochastic processes to measure-valued diffusions, particularly Dawson-Watanabe Superprocesses. As an application, we give the integrand in the
predictable representation of martingales of the filtration generated by measure-valued processes.
Within the CRC this talk is associated to the project(s): A5, B1 |
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