An introduction to ambit stochastics

Luogo: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari
Ore 15:00

Relatore:

• Benedykt Szozda (Department of Mathematics  Aarhus University)

Abstract:
In this talk we will give a brief, non-technical introduction to ambit stochastics. It is an area on the intersection of probability theory and statistics with applications to finance (energy markets), physics (turbulence) and biology (tumor growth). While ambit fields allow for high modelling flexibility, they are analytically tractable and yield themselves to numerical simulation.
The features that distinguish ambit fields from other modelling frameworks are the explicit modelling of (often highly irregular and violently changing) volatility/intermittency and the ambit sets that model which parts of space-time influence the modelled phenomena. Special emphasis will be put on stochastic integration in the setting of ambit processes.

Referente: Andrea Pugliese