KWIM Lecture Series Calendar Detailseite

Speaker:
Prof. Dr. Xue-Mei Li

This event is part of an event series „KWIM Lecture Series“.

It is a standard assumption that Gaussian noises in stochastic systems are white in time and white in space. This means that the noise at different point in space or in time is assumed to be uncorrelated. This leads to the Ito theory of integration. However, some time series data and other data indicates otherwise, some even exhibits long range dependence.
In SDEs these imply that neither the Markov theory nor its martingale characterisation can be relied on. In SPDE, the difficulty of irregularity coming from the white noise can be mitigated if they are replaced by smooth correlated noise. But other problems arrive. In this talk we shall explore these models and some phenomenons. New, as well as old
techniques in Stochastic Analysis will be explored.