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Seminar on Probability and Statistics Wednesday October 23 2013 Tokyo 006 1:00-3:30 pm Limit theorems for ambit processesMark Podolskij Universität Heidelberg AbstractWe present some recent limit theorems for high frequency
observations of ambit processes.
Ambit processes constitute a flexible class of models, which are usually
used to describe turbulent motion
in physics. Mathematically speaking, they have a continuous moving
average structure with additional random component
called intermittency. In the first part of the lecture we will
demonstrate the asymptotic theory for ambit processes driven
by Brownian motion. The second part will deal with Levy driven ambit
processes. We will see that these two cases
deliver completely different limiting results.
本講演は数物フロンティア・リーディング大学院のレクチャーとして行います． |

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Seminar on Probability and Statistics |