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Stochastic Processes: Moment Determinacy of Their Distributions

ARGOMENTI: Convegni

Mercoledì 29 marzo alle ore 15.00 in Sala Riunioni al I piano del Dipartimento di Matematica Pura ed Applicata (via Belzoni, 7) il prof. Jordan Stoyanov (Newcastle University, U.K.) terra' un seminario dal titolo "Stochastic Processes: Moment Determinacy of Their Distributions".

-Abstract
We consider the distributions, one- or multi-dimensional, of stochastic processes and analyze these distributions from the point of view of their uniqueness or non-uniqueness in terms of the moments. Special attention will be paid to Gaussian and/or diffusion type processes (e.g. solutions of SDEs) and non-linear functions and functionals of them. In particular, some interesting (and even curious) results will be reported for Stochastic financial models.

a seguire

Mercoledì 29 marzo alle ore 16.00 in Sala Riunioni al I piano del Dipartimento di Matematica Pura ed Applicata (via Belzoni, 7) il dott. Antoine Chambaz (Université René Descartes, Paris) terrà un seminario dal titolo "A MDL approach to HMM with Poisson and Gaussian emissions. Application to order identification".

-Abstract
We address the issue of order identification for HMM with Poisson and Gaussian emissions. We prove information theoretic BIC-like mixture inequalities in the spirit of (Finesso 1991), (Liu & Narayan 1994) and (Gassiat & Boucheron 2003). These inequalities lead to consistent
penalized estimators that need no prior bound on the order nor on the parameters of the mixture components.

Rif. int. M. Ferrante

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