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Some nice (counter-) examples in the context of Feller and Itô processes

Alexander Schnurr
(University of Dortmund)
Thieleseminar
Torsdag, 24 marts, 2011, at 13:15-14:00, in Koll. D (1531-211)
Abstrakt:
Deterministic processes form an important building block for several classes of stochastic processes. We provide a method to classify deterministic Hunt processes on the real line. Within this framework we construct several nice (counter-)examples. In particular we consider a process which is a Hunt semimartingale without being an Itô process in the sense of Cinlar, Jacod, Protter and Sharpe.

Organiseret af: The T.N. Thiele Centre
Kontaktperson: Almut Veraart