Gaussian processes, permanental processes and local times

Datum

03.11.2011

Zeit

14:00 - 15:00

Sprecher

Prof. Michael Marcus

Zugehörigkeit

The City College of New York, USA

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Beschreibung

Dynkin type isomorphism theorems relate the local times of transient Markov processes to the squares of Gaussian processes with covariance equal to the 0-potential density of the Markov process. This allows one to use very well understood properties of Gaussian processes to obtain properties of the local times. Necessarily we can only consider symmetric Markov processes. The permanental process is a generalization of the process of Gaussian squares and gives rise to isomorphism theorems that allow us to study local times of non-symmetric Markov processes.

Links

• Webseite der AG Analysis & Stochastik

Letztmalig verändert: 02.11.2011, 12:07:58