PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Manfred Denker.

Title:A weak limit theorem for stochastic integrals with applications
Seminar:Seminar on Probability and its Application
Speaker:Brian Nowakowski, PSU
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
Date:09 / 09 / 2011
Time:02:20pm - 03:20pm