Limit theorems for ambit fields

Stochastic Analysis Seminar Series

Abtsract: In this talk we will present some recent developments in the theory of ambit fields with a particular focuson limit theorems. Ambit fields is a tempo-spatial class of models, which has been originally introduced by Barndorff-Nielsen and Schmiegel in the context of turbulence, but found applications also in biology and finance. Its purely temporal analogue, Levy semi-stationary processes, has a continuous moving average structure with an additional multiplicative random input (volatility or intermittency). We will briefly describe the main challenges of ambit stochastics, which include questions from stochastic analysis, statistics and numerics. We will then focus on certain type of high frequency functionals typically called power variations. We show some surprising non-standard limit theorems, which strongly depend on the driving Levy process. The talk is based on joint work with O.E. Barndorff-Nielsen, A. Basse-O'Connor, J.M. Corcuera and R. Lachieze-Rey.


MARK PODOLSKIJ (University of Heidelberg)


Monday, November 10, 2014 - 15:45
to 16:45