LEVY KHINTCHINE FORMULA FOR ROUGH PATHS

Stochastic Analysis Seminar Series

Abstract:D Dimensional Levy processes can be considered as rough paths with the iterated integrals understood in suitable geometric sense. The expected value of the signature, ie the ensemble of all interated integrals which generically describes its law, is shown to admit an explicit expression. In fact the resulting formula is precisely of Levy-Kintchine type its (d-dimensional) argument omitted.

 

 

 

 

Location:
Speaker(s):

ATUL SHEKHAR

Date:
Monday, March 3, 2014 - 15:45
to 16:45