Probability and Statistics Seminar: Some very large deviations

Friday, April 21 at 3:30pm to 4:30pm

Kaprielian Hall (KAP), 414
3620 South Vermont Avenue, Los Angeles, CA 90089

Peter Baxendale, USC

Abstract:
Motivated by a problem in financial mathematics, we study the small time behavior of an additive functional of a fast diffusion process. The resulting behavior depends on the relative sizes of the small time and the speed of the diffusion. A simple time change converts the problem into one of moderate, or large, or very large deviations.

Event Type

Lecture / Talk / Workshop

Campus

University Park Campus

Department

Mathematics

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