Exponential functionals of conditioned Lévy processes and local time of a diffusion in a Lévy environment
- Date
- Feb 9, 2017
- Time
- 2:15 PM - 3:15 PM
- Speaker
- Grégoire Véchambre
- Affiliation
- Orleans
- Series
- TUD Mathematik AG Analysis & Stochastik
- Language
- en
- Main Topic
- Mathematik
- Other Topics
- Mathematik
- Host
- Prof. Dr. A. Behme
- Description
- Exponential functionals of Lévy processes have been widely studied over the past years and have multiple applications, among which the study of diffusions in random environment, the study of self-similar Markov processes or mathematical finance. We are interested in functionals of spectrally one-sided Lévy processes conditioned to stay positive and establish some of their properties : finiteness, distribution tails, self-decomposability, smoothness of the density. We then apply these properties to the study of the asymptotic behavior of the local time of a diffusion in a spectrally negative Lévy environment.
- Links
Last modified: Jan 16, 2017, 11:05:45 AM
Location
TUD Willers-Bau (WIL A 124)Zellescher Weg12-1401069Dresden
- Homepage
- https://navigator.tu-dresden.de/etplan/wil/00
Organizer
TUD MathematikWillersbau, Zellescher Weg12-1401069Dresden
- Phone
- 49-351-463 33376
- Homepage
- http://tu-dresden.de/mathematik
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