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03 - On fractional diffusion processes - Samy TINDEL episode artwork

May 23, 2007 44 min

03 - On fractional diffusion processes - Samy TINDEL

from Conference Stochastic Dynamics (SAMOS, 2007) Hosted by UP1 Service TICe

In this talk, we will describe some recent results concerning stochastic differential equations driven by a multidimensional fractional Brownian motion with Hurst parameter 1/3<H<1/2. Some simplifications in the rough path analysis have allowed us to study some properties of the processes associated to this kind of equation, and we will try to give an overview on three of them: an asymptotic expansion for the law of the process, a weak approximation type result, and an existence and uniqueness result for the delay equation. Samy TINDEL. Université de Nancy. Document associé : support de présentation : http://epi.univ-paris1.fr/servlet/com.univ.collaboratif.utils.LectureFichiergw?CODE_FICHIER=1182789774777 (pdf) Bande son disponible au format mp3 Durée : 45 mn

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03 - On fractional diffusion processes - Samy TINDEL

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