Tommi Sottinen 教授的学术报告

发布时间:2015年10月29日 作者:唐颖   消息来源:科研办    阅读次数:[]

报告人:芬兰Vaasa大学Tommi Sottinen 教授 

报告题目:Representing Gaussian processes via Brownian motion with applications to stochastic analysis 



摘要:We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic analysis by using it. In particular, we prove an Ito formula that is, as far as we know, the most general Malliavin-type Ito formula for Gaussian processes so far. Finally, we give applications to equivalence in law and series expansions of Gaussian processes. 

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