| Speaker: | Tyrone Duncan, University of Kansas |
|---|---|
| Abstract: | The family of fractional Brownian motions are naturally indexed by the Hurst parameter H. A stochastic calculus is described for these processes with 1/2 < H < 1. This calculus includes a stochastic integral of Ito type and a stochastic integral of Stratonovich type. Some change of variables formulas (Ito formulas) are given for smooth functions of processes obtained from fractional Brownian motion by stochastic integration. A homogeneous chaos for fractional Brownian motion is given. Some applications are described that are related to the identification of parameters of a linear stochastic differential equation with a fractional Brownian motion and a likelihood function for some problems of filtering and mutual information. |
| Biography: | Tyrone E. Duncan received the B.E.E. degree from Rensselaer Polytechnic Institute and the M.S. and Ph.D. degrees from Stanford University. He has held regular positions at the University of Michigan, the State University of New York, Stony Brook and the University of Kansas. He has held one year visiting positions at the University of California, Berkeley, the University of Bonn, and Harvard University and shorter visiting positions at many other universities. |
| Presented On: | March 5, 1999 |
| Videotape: | A videotape of this seminar is available from the Center for Satellite and Hybrid Communication Networks (CSHCN). CSHCN students and faculty may check out a videotape from the CSHCN Library in the Engineering Annex Building. Others may purchase a videotape from CSHCN. A complete paper copy of the speaker's slides accompanies the tape. To order a videotape or for more information, contact Diane Hicks by phone at (301) 405-7900 or by e-mail at dhicks@isr.umd.edu. |
