PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Manfred Denker.

Title:Stochastic Integration of Two-Parameter Semimartingales and Weak Convergence II
Seminar:Seminar on Probability and its Application
Speaker:Brian Nowakowski, Penn State University
This is a continuation of last week's talk (handouts are available). We present an extension of work by Jakubowski, Memin and Pages to the setting of stochastic processes with a multidimensional time parameter. In particular, we demonstrate that under suitable conditions, convergence of the pair (X_n,Y_n) to (X,Y) implies the convergence of \int Y_n dX_n to \int Y dX. An extension of the relevant topologies, as well as a new approach to multi-parameter stochastic integrals, will also be discussed.

Room Reservation Information

Room Number:MB106
Date:12 / 07 / 2012
Time:02:20pm - 03:20pm