Seminar:
Probability theory and stochastic modeling
Speaker:
Aleksander M. Iksanov (University of Kyiv)
Date:
Thursday, 15. February 2018 - 12:15
Room:
602
Abstract:
A fractionally integrated inverse stable subordinator (FIISS) is the
convolution of an inverse stable subordinator, also known as a
Mittag-Leffler process, and a power function. I am going to discuss
various path properties of FIISS including Hoelder continuity and laws of
iterated logarithm. I will explain that the FIISS is a quite natural
probabilistic object, for it arises as a functional weak limit for
appropriate shot noise processes. The talk is based on a joint paper with
Z. Kabluchko, A. Marynych, G. Shevchenko (SPA, V. 127 (2017), 80-106).