Speaker: Dr.Lauri Viitasaari(University of Helsinki)

Title: Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Time: Fri, Nov.23, 2018 , AM:9:00-10:00

Location: Room 4318, Building No.4, Wushan Campus

Abstract：   

In this talk we study the existence of pathwise Stieltjes integrals for Hölder continuous integrator and integrand having infinite p-variation for all values of p, and we discuss a notion of sufficient variability for the integrand which ensures the existence of the integral in a pathwise sense. We also show that the integral can be defined as a limit of Riemann–Stieltjes sums for a large class of processes, and provide new estimates on the accuracy of numerical approximations of such integrals.

Biography:

Lauri Viitasaari is a researcher at the University of Helsinki, Finland, and he received his PhD in Mathematics 2014 at Aalto University, Finland. Lauri Viitasaari's research topics vary from stochastic analysis, stochastic (partial/backward) differential equations, and the theory of asymptotic behaviour of random processes, to functional data analysis, time series analysis, and change point analysis.