For more information about this meeting, contact Manfred Denker.
| Title: | A weak limit theorem for stochastic integrals with applications |
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| Seminar: | Seminar on Probability and its Application |
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| Speaker: | Brian Nowakowski, PSU |
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| Abstract: |
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| Abstract. We present a theorem, independently due to Jakubowski, Memin
and Pages (1989), and Kurtz and Protter (1991), that answers the following
question: If a sequence of stochastic processes (X_n; Y_n) weakly converges to
(X; Y ), does \int XndYn weakly converge to
\int XdY ? With qualifi cation, the
theorem answers in the affirmative. This presentation is tutorial in nature, and
an application to mathematical finance is discussed to illustrate the result's
e ffectiveness. |
Room Reservation Information
| Room Number: | MB106 |
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| Date: | 09 / 09 / 2011 |
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| Time: | 02:20pm - 03:20pm |
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