Modul:   MAT971  Seminar über stochastische Prozesse

A pathwise approach to time change

Vortrag von Prof. Dr. Géronimo Uribe Bravo

Sprecher eingeladen von: Prof. Dr. Jean Bertoin

Datum: 15.05.24  Zeit: 17.15 - 18.45  Raum: ETH HG G 43

Time-change equations are a generalization of ordinary differential equations which are driven by the random, irregular, and possibly densely discontinuous sample paths of the typical stochastic process. They can be thought of as a multiparameter version of the method of time-change and can be given a pathwise theory.

Time-change equations can lead to deep results on weak existence and uniqueness of stochastic differential equations and posses a robust strong approximation theory. However, time-change equations are not restricted to Markovian or semimartingale settings.

In this talk, we will go through some examples of time-change equations which can be succesfully analyzed (such as (multidimensional) affine processes, sticky Lévy processes or Doeblin´s mostly unknown proposal for diffusion processes) as well as some open problems they suggest. ''