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Stochastic Methods in Analytical and Applied Problems (3526)


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Seminar details.



Paolo Di Tella: Introduction to Jump Processes, 18.-25.5.2016.

Jump processes, in particular semimartingales, play a fundamental role in
stochastic analysis. Aim of this lectures is to introduce graduate and PhD
students into the topic. To make the understanding easier, we concentrate
on Lévy processes (i.e. processes with homogeneous and independent
increments), a special case of semimartingales. We consider the jump
measure of a Lévy process and define the stochastic integral relatively to
it. Then we establish the canonical representation for semimartingales
which are Lévy processes, that is the Itô-Lévy decomposition.

sri,  18. 5. 16:15-17:45 h, 110
čet, 19. 5. 14:15-15:45 h, 201
pet, 20. 5. 14:15-15:45 h, 201

Ante Mimica: Laplaceova transformacija, 27.-29.05.

U ovom mini-kolegiju će se obraditi osnove Laplaceove transformacije mjera definiranih na skupu nenegativnih realnih brojeva. Nakon definicije i osnovnih svojstava dokazat će se teorem neprekidnosti, Tauberovski teoremi te uvesti pojam potpuno monotonih funkcija.

sri,  27. 05. 16:15-17:45 h, A201
čet, 28. 05. 14:15-15:45 h, A201
pet, 29. 05. 14:15-15:45 h, A201
Björn Böttcher (Technische Universität Dresden):
Metrics and distances in Probability Theory
, 03.-05.06.

In this short course we look at the following metrics/distances and their relations:
Indicator Metric, Total Variation, Hellinger Distance, Discrepancy, Compound Uniform Distance, Kolmogorov Distance

sri,  3. 6. 16:15-17:15 h, 17:45-18:45 h, A201
pet, 5. 6. 14:15-15:15 h, 15:45-16:45 h, A201