Statistical Inference for fractional SDEs and applications
Time and place
1 PM on Thursday, February 21st, 2013; NAC 6-113
Alexandra Chronopoulou (UCSB)
Abstract
Stochastic differential equations driven by fractional Brownian motion have an increasing presence in a wide range of applications, as they can model successfully phenomena that are characterized by long-memory and/or self-similarity. In this talk, we will review their basic theoretical properties, focus on the statistical inference of their parameters and discuss particular applications in mathematical finance.
