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Schedule
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LESSON 1: June 05, 2020; h. 14-16. (Friday)
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LESSON 2: June 09, 2020; h. 14-16. (Tuesday)
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LESSON 3: June 11, 2020; h. 14-16. (Thursday)
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LESSON 4: June 16, 2020; h. 14-16. (Tuesday)
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LESSON 5: June 19, 2020; h. 14-16. (Friday)
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This course will take place in streaming mode.
Interested people are invited to contact Lucia Caramellino
by email.
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Abstract
In several applications of stochastic analysis (financial engineering, telecommunication
networks, ...), it is desirable to model real-world quantities which are non-Markovian, for
example because the noise process exhibits slowly decaying auto-correlations and long
memory. In this course we will focus on fractional Brownian motion, a prototypical example
of non-Markovian process. Such process is a generalisation of Brownian motion with
Holder regularity possibly different than 1/2 and it is not a martingale. We will consider
large deviations problems, simulation methods and some examples of application.
Tentative Program and Resources
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