University of Connecticut

Events Calendar

Actuarial Science Seminar
Small Time Approximation of Transition Density
Tai-Ho Wang (City University of New York)

Monday, February 17, 2020
11:00am – 12:00pm

Storrs Campus
MONT 214

In this talk we present a bridge representation for the transition density of stochastic processes driven by either standard Brownian motions or mixed Brownian and fractional Brownian motions. A small time approximation of the transition density is readily obtained by approximate the bridge representation by a single deterministic path, which in the classical case recovers the heat kernel expansion for diffusion processes. Examples illustrating the methodology include heat kernel in hyperbolic space and mixed fractional Brownian motions with drift.

Speaker's bio:



Actuarial Science Seminar (primary), College of Liberal Arts and Sciences, UConn Master Calendar

Control Panel