Wednesday, December 20, 2023 - 15:15 in V3-201 + Zoom
Cameron-Martin Formula for a Class of non-Gaussian Measures
A talk in the Bielefeld Stochastic Afternoon series by
José Luís da Silva
| Abstract: |
In this talk, we study the quasi-invariance property of a
class of non-Gaussian measures, so-called Mittag-Leffler measures.
They are associated with the class of generalized grey Brownian
motion.
These measures are a mixture of Gaussian measures and the
corresponding process are subordinations of Gaussian processes, namely
fractional Brownian motion subordinated to a time change.
This key property allows us to find the Cameron-Martin formula given
in terms of the stochastic integral with respect to fractional
Brownian motion. As a consequence, we obtain an integration by parts
and the closability
of the directional derivative and the associated gradient. Based on
joint work with M. Erraoui and M. Röckner.
Within the CRC this talk is associated to the project(s): B1 |
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