Ph. D. Course (10 hours)

Fractional Brownian motion and non-Markovian modeling

Paolo Pigato

Last update: October 29, 2020




LESSON 1: June 05, 2020; h. 14-16. (Friday)

LESSON 2: June 09, 2020; h. 14-16. (Tuesday)

LESSON 3: June 11, 2020; h. 14-16. (Thursday)

LESSON 4: June 16, 2020; h. 14-16. (Tuesday)

LESSON 5: June 19, 2020; h. 14-16. (Friday)

This course will take place in streaming mode.

Interested people are invited to contact Lucia Caramellino by email.


Click here to access to LESSON 1

Click here to access to LESSON 2

Click here to access to LESSON 3

Click here to access to LESSON 4

Click here to access to LESSON 5




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