Department of Mathematics

Speaker: Alexandra Chronopoulou
Title: Statistical Inference for Fractional SDEs and Applications
Affiliation: University of California, Santa Barbara
Date: Friday, February 1, 2013
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

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.