大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

On the integrals of exponents and maximum fractional Brownian Motion: some analytical and numerical results

Alexander A. Novikov (University of Technology Sydney)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. On the integrals of exponents and maximum fractional Brownian Motion: some analytical and numerical results

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第83回 (理学研究科確率論セミナー主催)

On the integrals of exponents and maximum fractional Brownian Motion: some analytical and numerical results

Alexander A. Novikov (University of Technology Sydney)

The main focus of the talk is on the problem of finding analytical and numerical approximations to the integrals of exponents and maximum of fractional Brownian motion (fBm).

A new representation for fBm arising in the context of the problem of finding of the limit distributions of Bayesian and maximum likelihood estimators in the "signal plus white noise" model with irregular cusp-type signals will be discussed. The bounds for the distributions, the expected value of maximum of fBm and related inequalities will also be discussed.